The authors conduct a comprehensive study of some parametric models that are designed to fit the unusual bounded and bimodal distribution of loss given default (LGD).
The papers in this issue focus on modeling dependence via copulas and on identifying independent risk factors for better portfolio risk attribution. An extension of a classical portfolio selection problem and an approach to compare mutual funds are also...
This paper investigates the extent to which the nonstationarity of financial time series affects both the estimation and the modeling of empirical copulas.
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Difficulties gathering data plague efforts to determine correlation between private and publicly traded assets
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen
Banks should “get clever and develop their own model” in response to SMA, says UK bank risk manager
Impact of Federal Reserve and OCC model risk guidance is being felt well beyond US banks
Surging availability of data lets firms with best market insight gain an edge
Past performance of financial models is no guarantee of future success, two forthcoming papers suggest
New rules needlessly confusing, say distributors
Regulator demands could lead to "tick-the-box" exercise, hear delegates at Quant Summit Europe
Global head of market modelling is no longer with the bank, say industry sources
Developments since 2008 open up exciting possibilities, says Kimmo Soramäki
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners
In this paper the use of B-splines is advocated for volatility modeling within the calibration of stochastic local volatility (SLV) models and for the parameterization of an arbitrage-free implied volatility surface calibrated to sparse option data.
Firms concerned about modelling future portfolio changes
Double award for Sungard with further enhancements to Prophet
Aon brings philosophy of openness to catastrophe models
Clean data and consistency put UBS Delta in lead
Clients say breadth of coverage a winning formula
Fed stress tests are a "perfect storm of pressure"
Factor models can be helpful in identifying unseen risks in investor portfolios