Technical papers/Foreign Exchange
Charles Smithson and Neil Pearson discuss the valuation of collateralised debt obligations (CDOs), with a close look at CDOs of subprime residential mortage-backed securities
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...
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...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Technical papers/Foreign Exchange articles
Markovsch oder nicht Markovsch, das ist die Frage
This paper provides projections of future life expectancy for the ^G7 countries. It is shown that a continuing increase in life expectancy is probable in all considered countries
The relative riskiness of equity compared to bonds and bills goes down when the investment horizon increases. Stakeholders in the savings industry should consider this fact for the sake of the consumers' welfare
In questo articolo Attilio Meucci ricorre all'analisi di regressione per scomporre volatilità, value-at-risk (VaR) ed expected shortfall (ES) in combinazioni o aggregazioni arbitrarie di fattori di rischio, e illustra una semplice ricetta per implementare...
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future