Technical paper
Pricing basis risk in survivor swaps
Technical papers
The probability approach to default probability
Cutting Edge: Credit portfolio risk
Going downturn
There is much debate regarding the definition of 'downturn' loss given default (LGD). In this article, Michael Barco offers an analytic approach for calculating downturn LGD so that credit risk capital is not underestimated or overestimated
The determinants of corporate credit spreads
Credit default swaps (CDSs) are an integral tool used for the management of credit risk by financial institutions. Despite their importance, good models for the determination of CDS spreads, also called corporate credit spreads, are not readily available…
Calibrating and pricing with embedded local volatility models
Consistently fitting vanilla option surfaces when pricing volatility derivatives such as Vix options or interest rate/equity hybrids is an important issue. Here, Yong Ren, Dilip Madan and Michael Qian Qian show how this can be accomplished, using a…
Going downturn
There is much debate regarding the definition of 'downturn' loss given default (LGD). In this article, Michael Barco offers an analytic approach for calculating downturn LGD so that credit risk capital is not underestimated or overestimated
Evaluating the policy implications of the other two pillars of Basel II
This brief evaluates the supervisory-process and market-discipline pillars of the Basel II bank regulatory framework.
Optimized enterprise risk management
As the result of the increasing costs of risk and compliance activities, enterprises are beginning to integrate compliance and risk management into a comprehensive enterprise risk management function and thus proactively address all sorts of risk,…
The underlying dynamics of credit correlations
Research Papers
Risk Sharing - Constructing sustainable pensions
Technical papers