

Mind the gap
A default intensity model reveals the risk carried by a highly leveraged counterparty
CLICK HERE TO DOWNLOAD THE PDF
There has been a cluster of market-driven defaults resulting in severe losses, including Archegos, Parplus, Malachite and a clearing member at Nasdaq. To understand these losses, Andrew Dickinson presents a generalised default intensity model that quantifies the extent of the risks posed by highly leveraged counterparties while remaining sufficiently tractable for practical use
In this article, we analyse the exposure to a leveraged counterparty whose default
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Banking
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Pricing in the gap risk of mini-futures
Mini-futures need to be priced and hedged taking sudden jumps into account
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Vega decomposition for the LV model: an adjoint differentiation approach
Introducing an algorithm for computing vega sensitivities at all strikes and expiries
Alternatives to deep neural networks in finance
Two methods to approximate complex functions in an explainable way are presented
Interpolating commodity futures prices with Kriging
A futures price’s term structure is built to account for trends and seasonality effects
Deep calibration of rough volatility models
Rough vol models are calibrated and fitted to SPX and Vix smiles
Automatic implicit function theorem
New technique can improve use of adjoint algorithmic differentiation in calibration problems