Risk magazine - Volume16/No4

The power of the portfolio

To observers, credit portfolio modelling appears particularly dependent upon making approximations. Derivatives traders may study finite difference schemes, but at least the pricing models are finely calibrated to the market. Asset managers might have to…

Credit ensembles

Kevin Thompson and Roland Ordovas address the question of how individual counterparties contribute to the total credit risk of a portfolio. They provide an analytic method, new to credit modelling, to estimate all joint default statistics conditional…

Enhancing CreditRisk+

Of the various analytical approaches to credit portfolio modelling, CreditRisk+ has become the most popular due to its tractability. However, the model suffers from the restrictive assumption of sector independence. Moreover, the recursion relation for…

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