Technical papers/Foreign Exchange
Portfolio modelling of counterparty reinsurance default risk
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...
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
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...
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How banks needs to consider their IT infrastructure
Banks are increasingly using their IT infrastructure to increase their competitive advantage. Learn how this can work in practice.
More Technical papers/Foreign Exchange articles
Kalibrierung der Laufzeitstrukturen der Ausfallwahrscheinlichkeiten
Markovsch oder nicht Markovsch, das ist die Frage
Interest rate risk of mortgage servicing rights
Dick Boswinkel and Kent Westerbeck examine the behaviour of mortgage servicing rights' duration and convexity and explain how they relate to the prepayment assumptions used in valuing MSRs
Future mortality improvements in the ^G7 countries
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 contractual trust arrangement
Voluntary funding by plan sponsors using CTAs has recently become a feature of the German pension landscape. This paper reviews common reasons for using CTAs and finds many of them lacking in substance
Assets relative risk for long-term investors
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
Contributi al rischio di fattori generici definiti dall'utente
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...
Taking stock of Pillar II
The Pillar II roll out in the UK life industry identified £52 billion of capital needed to meet a 99.5% confidence target. This is a good time to review the process, and the next steps to Solvency II
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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