Technical paper/Credit risk
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Short-rate joint-measure models
A joint-measure model combining Q-measure and P-measure
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
The simple link from default to LGD
A new approach to incorporating loss given default into models
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Systematic risk factors redefined
Systematic risk factors redefined
Exposure under systemic impact
Exposure under systemic impact
Lois: credit and liquidity
Lois: credit and liquidity
