Technical paper/Systematic risk
Banking competition and systemic risk: evidence from China
The authors investigate the relationship of competition between Chinese banks and the stability of the banking system, finding that increasing competition leads to decreasing systemic risk.
Benchmarking loss given default discount rates
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
Systematic risk and yield premiums in the bond market
This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
Portfolio construction and systematic trading with factor entropy pooling
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
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
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures