Risk magazine - Volume15/No12

Loan portfolio value

Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…

Volatile volatilities

When pricing exotic interest rate derivatives, calibration of model parameters to vanilla cap or swaption prices can be especially time-consuming, especially if stochastic volatility is incorporated into the standard Libor market models or low…

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