Quantitative analysis
Linear, yet attractive, Contour
Banks’ Potential Future Exposure models are at the core of the advanced EAD (Exposure At Default) approach to capital requirements for credit risk considered in the New Basel Capital Accord. Juan Cárdenas, Emmanuel Fruchard and Jean-François Picron look…
Emerging markets ramp up
Asset and liability management systems sales continue to be strong in the US and Europe, thanks to Basel II preparations. But it is in the emerging markets that vendors say strong sales growth will come in 2002.
Black-Scholes goes hypergeometric
Option pricing models
Style-based value-at-risk for UK equities
Risk measures
Modelling growth stocks
Stock valuation models
Equity to credit pricing
Default models
Crises and volatility
Stress testing
Behind the mirror
Barrier options
Calculating the contribution
Economic capital
The stochastic volatility Libor market model
Interest rates
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…
Core satellite investing: harmony through separation
Asset allocation
Firm-wide risk management for funds
Firm-wide risk
The destructive power of ‘best practice’
Capital management
Image options and the road to barriers
Barrier options
VAR: who contributes and how much?
Portfolio risk management
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
Beyond Basel II - operational risk management comes of age
Integrated, enterprise-wide, operational risk management can offer much more than just regulatory compliance.
Changing history
Equity risk management
How dependent are defaults?
Credit portfolio management
Plugging into electricity
Commodities