Technical paper articles on risk management, derivatives and complex finance - Risk.net

The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…

01 Aug 2001

Original research

A nonexploding bushy tree technique and its application to the multifactor interest rate market model

01 Aug 2001

Original research

Exercise boundaries and efficient approximations to American option prices and hedge parameters

01 Aug 2001

Original research

A new PDE approach for pricing arithmetic average Asian options

01 Aug 2001

Original research

Performance of Dupire's implied diffusion approach under sparse and incomplete data

01 Aug 2001

Infrastructure

Changing history

Equity risk management

01 Jul 2001

Infrastructure

How dependent are defaults?

Credit portfolio management

01 Jul 2001

Infrastructure

Plugging into electricity

Commodities

01 Jul 2001

Original research

Managing the risk of relative price changes by splitting index-linked bonds

01 Jul 2001

Original research

Incorporating severity variations into credit risk

01 Jul 2001

Original research

Optimal slice of a block trade

01 Jul 2001

Original research

Insurance and reinsurance contracts as complex derivatives: Application to multiple peril policies

01 Jul 2001

Original research

Volatility modeling in the presence of measurement errors

01 Jul 2001

Infrastructure

Factoring in volume risk

Corporate risk management

01 Jun 2001

Infrastructure

Reconciling ratings

Basel II

01 Jun 2001

Risk management

Reconciling ratings

How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…