Technical papers
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...
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...
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...
Using market and credit risk analytics to strengthen performance
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More Technical papers articles
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...
Pricing high-dimensional Bermudan options using variance-reduced Monte...
A numerical method for pricing Bermudan options depending on a large number of underlyings is presented. The asset prices are modeled with exponential time-inhomogeneous jump-diffusion processes. We improve the least-squares Monte Carlo method proposed...
Pricing synthetic collateralized debt obligations based on exponential...
Correlation-dependent derivatives, such as asset-backed securities and collateralized debt obligations (CDOs), are common tools for offsetting credit risk. Factor models in the conditional independence framework are widely used in practice to capture...
Numerical methods for an optimal order execution problem
This paper deals with numerical solutions to an impulse control problem arising from optimal portfolio liquidation with bid-ask spread and market price impact penalizing speedy execution trades. The corresponding dynamic programming (DP) equation is a...
Deriving consensus ratings of the big three rating agencies
This paper introduces a model framework for dynamic credit rating processes. Our framework aggregates ordinal rating information stemming from a variety of rating sources. The dynamic of the consensus rating captures systematic as well as idiosyncratic...
The survival analysis approach in Basel II credit risk management: modeling...
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given default and exposure at default within a horizon...
Cutting edge: Correlation functions in the crude oil and natural gas...
Given the importance of the crude oil and natural gas futures markets, the intra-market correlations in these markets play an important role in pricing, hedging and managing the risks of energy portfolios. This paper by Ehud Ronn contributes to the...
How can investment banks use grid technology?
Learn how technology is enhancing risk management
Technology can provide a competitive advantage in banking. How it is applied by Tier 1 and Tier 2 institutions, to the benefit for their risk management systems, is discussed.
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Risk USA
USA, 21st - 24th Oct 2013
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