Pension fund cuts risk to guard against correlation switchback
Research is starting to show the stock-bond link in a new light
Growing number of Chinese lenders designated as systemically important
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
Turmoil benefits total return futures, cross-asset arbitrage and dispersion
Return of pre-crisis, ‘theta-flat’ trades an early sign of shifting volatility expectations
UBS quants show prices can differ by up to 25 correlation points if products modelled accurately
A correlation structure is an important element in pricing products such as correlation swaps
In this paper, the authors outline a simulation-based methodology for the generation of stressed transition probability matrixes under the structural credit risk framework.
Pure exposure to home equities harder to isolate than previously thought, new paper says
Drop loss categories and correlations and adopt simple loss distribution, advises AMA expert
The authors present a methodological framework for quantifying interdependencies in the global market and for evaluating risk levels in the worldwide financial network.
This paper develops a connection between the Hull–White parametric approach and the PCL correlation approach for CVA calculation.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
The aim of this paper is to assess the effects of the reputation of the members of a group on any single member of the group using the concepts of social influence and convergence in belief.
This paper studies centrality (interconnectedness risk) measures and their added value in an active portfolio optimization framework.
Loosely connected assets are better protected against market crashes
Risk Awards 2017: Innovation helped bank get closer to originate-to-distribute model
This paper mathematically formalizes the concept of a temporal path-dependent risk measure in order to capture the risk associated with the temporal dimension of a stochastic process.
Understanding key risk can be difference between success and failure