Technical paper/Risk management
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
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
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
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
The probability approach to default probabilities
Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, Nicholas Kiefer applies the probability approach to uncertainty and modelling to default…
Kalibrierung - Markov-Projektion zur Kalibrierung der Volatilität
Der Neueste Stand
Expected shortfall - una coda in due parti
APPROFONDIMENTI. RISCHIO DEL PORTAFOGLIO CREDITI
Purchase timing
Managing purchase timing risk is a constant issue for wholesale power buyers. Pavel Diko reviews products that reduce this risk, proposes a lookback option that can eliminate it completely and outlines a hedging strategy for the option writer