Modelling counterparty default risk of a reinsurance bouquet requires an appropriate underlying default correlation structure. A flexible model with two control parameters gives us an alternative of the...
More Technical papers/Derivatives articles
Computations of implied copulas are a central element in producing loss distributions of bespoke portfolios and pricing their tranches. This process is made feasible by the availability of index tranche pricing data. Luigi Vacca shows how it is possible...
Leveraged super-senior (LSS) trades represent a mechanism for packaging senior credit risk. Many LSS structures have been issued to date and yet there seems to be no formal pricing approach. In this article, Jon Gregory discusses the valuation of LSS...
Considering correlation as the major driving factor for portfolio risk, Farshad Mashayekhi and Joy Wang present a methodology for the estimation of correlation among retail exposures based on historical default rates in pools of retail accounts. The estimation...
Stewart Inglis and Alex Lipton describe dynamic and static factor models for credit correlation, and show how the static model can be calibrated to the market and used for the pricing of standard and bespoke tranches, including tranchelets
Counterparty risk under correlation is relatively unexplored in the financial literature. Here, Damiano Brigo and Andrea Pallavicini extend previous analysis beyond simple swap portfolios. A stochastic intensity jump diffusion model is adopted for the...
Markovsch oder nicht Markovsch, das ist die Frage
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Topics of interest
Hong Kong, 1st - 31st Dec 2014
UK, 18th Mar 2015
Singapore, 22nd - 23rd Jul 2014
Australia, 12th - 13th Aug 2014
Australia, 14th Aug 2014