Journals
A Fourier approach to the computation of conditional value-at-risk and optimized certainty equivalents
We consider the class of risk measures associated with optimized certainty equivalents.
Suitability of capital allocations for performance measurement
Capital allocation principles are used in various contexts in which the risk capital or the cost of an aggregate position has to be allocated between its constituent parts.
Modeling a risk-based criterion for a portfolio with options
The presence of options in a portfolio fundamentally alters the portfolio's risk and return profiles when compared with an all-equity portfolio. In this paper, we advocate modeling a risk-based criterion for optioned portfolio selection and rebalancing…
General covariance, the spectrum of Riemannium and a stress test calculation formula
This paper proposes a formula for a market stress test of a portfolio.
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Asset correlation in residential mortgage-backed security reference portfolios
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
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)