Technical paper/Basel II
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Cutting Edge introduction: risky contributions
Risky contributions
Counterparty risk capital and CVA
Counterparty risk capital and CVA
CVA and the equivalent bond
CVA and the equivalent bond
Calibration of PD term structures: to be Markov or not to be
A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger Overbeck show that empirical multi-year default…
Shortfall: a tail of two parts
Richard Martin and Dirk Tasche show that the expected shortfall, when used in the conditional independence framework, has an elegant decomposition into systematic (risk-factor-driven) and unsystematic parts. The theory is compared and contrasted with the…