Technical paper/Risk management
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson, Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio lossdistribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson,Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Bond execution models
Quantitative trading l Cutting edge
Co-monotonic default quote paths for basket evaluation
Cutting edge: Credit portfolio risk
Hybrid equity-credit modelling
Cutting edge: Hybrid models
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…
The two-factor Black-Litterman model
Over the years, an increasing number of practitioners have been using the Black-Littermanmodel to make tactical asset allocation decisions. The model generates more stable resultsthan classical mean-variance optimisation and incorporates return forecasts…
Rating properties and their implications for Basel II capital
Robert Rauhmeier and Harald Scheule offer new insights on the verification of ratings. Within a consistent framework, the basic properties of association, calibration, discrimination and refinement in rating forecasts are defined and measures derived. It…
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…
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…
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 sum of its parts
Germany
Rating properties and their implications for Basel II capital
Internal ratings
Real-time trading
Rankings 2005
Understanding variations in the risk of multi-strategy portfolios
Investors spend a great deal of time and effort setting a thoughtful risk budget for their portfolio,only to see all too frequently that the targeted risk will be missed by a wide margin when theinvestment process gets started. In this article, Gang…
Estimating default correlations using a reduced-form model
Credit risk : Cuttingedge
Caring competition
What are the theoretical consequences of restructuring electricity markets on emissions? Here, Benoît Sévi shows that changes in supply and consumption and restructuring for competition has environmental effects, and argues that strong public policies…
Maximum likelihood estimate of default correlations
Estimating asset correlations is difficult in practice since there is little available data andmany parameters have to be found. Paul Demey, Jean-Frédéric Jouanin, Céline Roget andThierry Roncalli present a tractable version of the multi-factor Merton…
Mixed default modelling
Structural and reduced-form models are two well-established approaches to modelling afirm’s default risk. Here, Li Chen, Damir Filipovic/ and Vincent Poor develop a new default riskmodelling strategy based on combining these two frameworks in order to…
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Counting on foreign cash
foreign investment