Technical papers/Credit Risk
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More Technical papers/Credit Risk articles
Jorge Sobehart and Sean Keenan discuss the benefits and limitations of model performance measures for default and credit spread prediction, and highlight several common pitfalls in the model comparison found in the literature and vendor documentation....
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
Michael Barco shows how to perform mark-to-market credit portfolio modelling by extendingthe well-known saddle-point technique, introducing spread and recovery rate volatility. Hethen tests his results on a fictitious portfolio, showing how asset allocation...
Michael Barco shows how to perform mark-to-market credit portfolio modelling by extending the well-known saddle-point technique, introducing spread and recovery rate volatility. He then tests his results on a fictitious portfolio, showing how asset allocation...
Student-t copula models are popular, but can be over-simplistic when used to describe credit portfolios where the risk factors are numerous or dissimilar. Here, Stéphane Daul, Enrico De Giorgi, Filip Lindskog and Alexander McNeil construct a new, generalised...
For credit portfolio managers, the priority is to properly incorporate recovery rates into existingmodels. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates todepend on the idiosyncratic part of a borrower's asset return,...
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
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