Asset allocation
Portfolio allocation to corporate bonds with correlated defaults
This article deals with the problem of optimal allocation of capital to corporate bonds in fixed income portfolios when there is the possibility ofcorrelated defaults. Under fairly general assumptions for the distribution of thetotal net assets of a set…
Sweden’s credit risk maverick
“We don’t like portfolio management,” says Björn Börjesson, executive vice-president and head of the central credit department at Svenska Handelsbanken in Stockholm.
Credit risk in asset securitisations: an analytical model
How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…
The pitfalls of VAR estimates
Value-at-risk