Technical paper/Risk management
Component VAR for a non-normal world
Market Risk
Un modello di Vasicek multistato con correlazione tra tassi di default e perdita
Approfondimenti - Rischio di credito
Estimating credit contagion in a standard-factor model
Cutting Edge - Credit Portfolio Risk
Improving annuity pricing with address data
Technical papers
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…
Inflation ist normal
Der Neueste Stand - Inflationsderivate
Estimating credit contagion in a standard factor model
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among…
Structural modelling of subprime mortgages
With the economy still suffering from the waves of the credit crunch, triggered by a housing price slump, Yong Kim provides a structural model of subprime mortgages based on housing market risks. Given the enormity of the subprime mortgage market failure…
Valuation and risk analysis for Dutch pension schemes
Technical papers
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has a major bearing on credit risk capital. Rahul Sen shows the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for arbitrary loss…
On the cost of regulation under Solvency II
Technical papers
Das Kontrahentenrisiko und CCDSs unter Korrelation
Der Neueste Stand - Hybrid-Risiko
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…
Realisable group diversification effects
Technical papers
Un approccio unificato
Capitale economico
Copule archimediane implicite nei dati di mercato
Approfondimenti. Derivati creditizi
Confidence intervals for corporate default rates
Rating agency default studies provide estimates of mean default rates over multiple time horizons but have never included estimates of the standard errors of the estimates. This is due, at least in part, to the challenge of accounting for the high degree…
Looking forward to back testing
With increasing challenges to measure value-at-risk and meet high regulatory requirements, the focus has turned to back testing as a way of assuring models' adequacy. Carsten S Wehn proposes a new regime of back testing, combining state-of-the-art…
Valuing CDOs of ABSs
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs), with a close look at CDOs of subprime residential mortage-backed securities