Technical paper
Problems & Solutions: Recovery Swaps and CDO Deltas
There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…
Time to smile
Cutting edge: Option pricing
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Citigroup
Quant analysis
Credit Mutuel
Quant analysis
Caja Castilla La Mancha
Quant analysis
Quant analysis by StructuredRetailProducts.com
Quant analysis
Newcastle
Quant analysis
A forward-looking adjustment for op risk quantification
Anupam Sahay and Ashish Dev present a general discussion of the basic elements of a rational framework for operational risk quantification. Then they focus on modelling the effect of internal controls and business environment on operational events. The…
A forward-looking adjustment
Cutting edge: Operational risk
The impact of PD/LGD correlations on credit risk capital
Guido Giese applies econometric estimates of correlations between default rates and loss given default rates to modern credit portfolio models to quantify their impact on the calculation of credit risk capital
Omega portfolio construction
The omega risk-adjusted performance measure with Johnson distributions accountscomprehensively and non-discretionarily for the first potentially persistent moments includingskewness and kurtosis. The Johnson-omega ratio thus overcomes the shortcomings of…
Real option valuation
Emissions trading
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Quant analysis
NDF
Quant analysis by StructuredRetailProducts.com
Bayerische Landesbank
Quant analysis by StructuredRetailProducts.com