Technical papers/Risk Management
Economic capital model validation: a comparative study
Using a long history of public firm defaults, this study illustrates a validation approach for jointly testing the impact of probability of default and correlation upon economic capital model performance....
Resampling approaches were the first techniques employed to compute a variance for the Gini coefficient. Various authors have demonstrated that estimates of the Gini coefficient can be obtained from a...
We describe a method, based on the Merton model, to improve credit portfolio models by adding to the underlying distributions forward-looking tails deducted through the Bayesian networks technology. Given...
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Adding prior knowledge to quantitative operational risk models
Our approach is based on the study of the statistical severity distribution of a single loss. We analyze the fundamental issues that arise in practice when modeling operational risk data. We address the statistical problem of estimating an operational...
Adequate communication about operational risk in the business line
While there is an established framework for quantitative modeling of operational risk as a "lingua franca" on an expert level, active operational risk management in the business line as "first line of defense" requires adequate communication with and...
Systemic operational risk: does it exist and, if so, how do we regulate...
Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow banking". But, at the time of writing, a definition...
Counterparty risk subject to additional termination event clauses
The credit additional termination event (ATE) clause is a counterparty risk mitigant that allows banks to terminate and close out bilateral derivative contracts if the credit rating of the counterparty falls below the trigger level. Since credit default...
Debt structure, market value of firm and recovery rate
This paper examines determinants of creditor recoveries from defaulted debt instruments. First, we argue that to properly measure a debt instrument's relative position in a firm's debt structure, debt pari passu to the instrument must be accounted for....
A comparison of numerical approaches to determine the severity of losses...
Here we present a comparison of the performance of several numerical methods to determine the probability density of the total severity when a model is known. One method is based on the maximum entropy principle applied to fractional moments. The other...
Fast and accurate long-stepping simulation of the Heston stochastic...
In this paper, we present three new discretization schemes for the Heston stochastic volatility model: two schemes for simulating the variance process and one for simulating the integrated variance process conditional on the initial point and the end...
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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How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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