Technical paper
Problems & Solutions: Financially Motivated Model Performance Measures
There are many interesting issues surrounding credit risk that are of both practical and academic interest. The Problems and Solutions section aims to engage readers in active discussion and debate of such issues. Readers are encouraged to post questions…
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital.
The expectation game
Cutting Edge: Life Insurance
Quant analysis by StructuredRetailProducts.com
Quant analysis
Merrill Lynch
Quant Analysis
Fibanc
Quant Analysis
BCC San Giorgio e Meduno
Quant Analysis
Abbey
Quant Analysis
An empirical analysis of equity default swaps (I): univariate insights
Arnaud de Servigny and Norbert Jobst assess whether standard quantitative credit techniques can be used to measure the individual risk of hybrid instruments called equity default swaps (EDSs). This endeavour is based on extensive empirical work. The…
Operational VAR: a closed-form approximation
Klaus Böcker and Claudia Klüppelberg investigate a simple loss distribution model for operational risk. They show that, when loss data is heavy-tailed (which in practice it is), a simple closed-form approximation for operational VAR can be obtained. They…
A matter of principal
Developing term structure models can be tricky, as unknown factors and non-observable variables can affect futures prices. But principal components analysis is useful in tackling these problems. Here, Delphine Lautier uses PCA to pin down price movements…
Police Mutual
Quant analysis
Quant analysis by StructuredRetailProducts.com
Quant analysis
First Trust Bank
Quant analysis
UBS
Quant analysis
ABN Amro
Quant analysis
Time for multi-period capital models
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital. Here, Kevin Thompson, Alistair McLeod, Panayiotis Teklos and Shobhit Gupta…
Trading down the slopes
The credit derivatives market is growing at an impressive rate, with the credit default swap (CDS) being the most popular instrument. This article is relevant for the trading of CDSs and bond portfolios. Mascia Bedendo, Lara Cathcart, Lina El-Jahel and…