Technical papers/Foreign Exchange
Zur Validierung von Marktrisikomodellen
Vor dem Hintergrund steigender Komplexität der Risikomessung und höherer regulatorischer Anforderungen gewinnen Techniken zur Validierung von Risikomodellen zunehmend an Bedeutung, um die Adäquanz dieser...
Attilio Meucci propone una metodologia unificata per l'utilizzo di opinioni non lineari di un numero qualsiasi di utenti in mercati perfettamente generali e non normali e lo svolgimento, tra le altre cose,...
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies...
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More Technical papers/Foreign Exchange articles
Inflation ist normal
Ausgehend von der Beobachtung, dass lognormale Markt-Caplet-Volatilitäten von weniger als 1% Normalität für Fälligkeiten von bis zu 30 Jahren implizieren, führt Chris Kenyon normalbasierte Smile-Modelle für die Inflation im Jahresvergleich ein....
Improving annuity pricing with address data
Socioeconomic group is an important factor for determining life expectancy, and actuaries have traditionally used pension or benefit size as a proxy for this. This article shows the weaknesses of relying solely on benefit size or amount, and explains...
Structural modelling of subprime mortgages
With the economy still suffering from the waves of the credit crunch, triggered by a housing price slump, Yong Kim provides a structural model of subprime mortgages based on housing market risks. Given the enormity of the subprime mortgage market failure,...
Estimating intrinsic currency values
Forex market practitioners constantly talk about the strengthening or weakening of individual currencies. In this article, Jian Chen and Paul Doust present a new methodology to quantify these statements in a manner that is consistent with forex market...
Valuation and risk analysis for Dutch pension schemes
This paper examines fair value liabilities and derives the implied indexation rate as the measure of the benefits provided by the conditional indexation mechanism. Further, it assesses the sensitivity of the fair value liabilities to real and nominal...
Das Kontrahentenrisiko und CCDSs unter Korrelation
Das Kontrahentenrisiko unter Korrelation ist in der Finanzliteratur relativ unerforscht. Im vorliegenden Artikel führen Damiano Brigo und Andrea Pallavicini die bestehenden Analysen über einfache Swap-Portfolios hinaus. Das Ausfallereignis wird im Rahmen...
On the cost of regulation under Solvency II
This paper shows that insurers can meet solvency requirements without a great sacrifice to the expected return either of themselves or their policyholders and thus that the regulation through Solvency II is not very costly
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
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