Journals
Estimation of risk measures for large credit portfolios
In this paper, saddle point techniques are used in the computation of risk measures for large mark-to-market credit portfolios with stochastic recovery and correlation between obligors depending on the state of the economy.
A credit value adjustment scheme for bank loan portfolios
In this study the authors develop an analytical scheme that integrates a large spectrum of typical bank loans and credits, accommodates common bank loan portfolio chronological interdependencies and allows the necessary credit value adjustments (CVAs)…
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
A bill of goods: central counterparties and systemic risk
Volume 2, Issue 4 (2014)
Correspondent Banking in Euro: bank clustering via self-organizing maps
Volume 2, Issue 4 (2014)
Competition in bank-provided payment services
Relative competition in payment services assessed by new frontier-based method
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
Pitfalls and solutions in current risk management methodology
Volume 16, Issue 5 (2014)
Diversifying risk parity
Volume 16, Issue 5 (2014)
Risk evaluation of mortgage-loan portfolios in a low interest rate environment
Volume 16, Issue 5 (2014)
The Bayesian roots of risk balancing
Risk balancing has been considered a heuristic asset allocation method. In this paper, the authors show that, on the contrary, risk balancing is a special case of a utility optimization problem with log regularization that constrains risk concentration.
Risk–return-efficient target-volatility strategies
Volume 3, Issue 3 (2014)
Two centuries of trend following
Volume 3, Issue 3 (2014)
