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 dual problem of pricing to acceptability is formulated as a disciplined convex program solvable by the software CVXOPT.
The authors of this paper use power series distributions to develop a novel and flexible zero-inflated Bayesian methodology.
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
In this paper the authors present an efficient convergent lattice method for Asian option pricing with superlinear complexity.
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
This paper presents a two-layer order book model.
The authors explore the implications of directors' networks for company valuation in a concentrated ownership environment and in pyramidal control structures.
A fuzzy data envelopment analysis model for evaluating the efficiency of socially responsible and conventional mutual funds
The authors of this paper use data envelopment analysis (DEA) to assess the relative efficiency of a sample of US equity mutual funds.
This paper explores how a defined-contribution pension fund optimally distributes wealth between a defaultable bond, a stock and a bank account, given that a salary is a stochastic process.
This paper presents a method to estimate and decompose a portfolio’s risk along independent factors.
The author of this paper presents a general and path-consistent wrong-way risk (WWR) model that does not require simulation of credit and market variables simultaneously.
This paper investigates the extent to which the nonstationarity of financial time series affects both the estimation and the modeling of empirical copulas.
Kharen Musaelian, Santhanam Nagarajan and Dario Villani show how to build robust risk metrics for bond returns
The authors present Sequential Monte Carlo (SMC) method for pricing barrier options.
Yadong Li, Marco Naldi, Jeffrey Nisen and Yixi Shi propose a new capital allocation method
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
A P&L attribution framework can improve the information available to energy traders
A reduced basis method for parabolic partial differential equations with parameter functions and application to option pricing
The authors introduce an RB space–time variational approach for parametric PPDEs with coefficient parameters and a variable initial condition.
The authors propose a general framework to assess the probability of backtest overfitting (PBO).
Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits
This paper introduces a model which enables lenders to develop specific policies for credit granting by predicting the solvency and insolvency rates of their corporate clients.
The author of this paper assesses operational loss data and its implications for risk capital modeling.
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.