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
Operational risk and the Solvency II capital aggregation formula: implications of the hidden correlation assumptions
The authors of this paper analyze the Solvency II standard formula for capital risk aggregation in relation to the treatment of operational risk capital.
This paper aims to build novel measures of systemic risk that take the multivariate nature of the problem into account by means of network models.
Buy-siders need to plug changes into VAR, say risk managers
A simulation comparison of aggregation periods for estimating correlations within operational loss data
This paper investigates the differences in the values of correlations based on different aggregation periods of time series loss data.
BB&T auditor's model shows capital measured by LDA might be pushed up by 16–55%
To enable autocorrelation in the frequency distribution, this paper proposes a significant generalization of the LDA model that involves treating operational risk as a Lévy jump-diffusion.
Recent trends in research may help firms obtain reliable correlations from limited data
Bun, Bouchaud and Potters present a technique that allow cleaning in-sample noise from correlation matrixes
This paper focusses on the dynamics of the correlations between commodities and Islamic indexes.
Lundin and Satchell present a non-linear asymmetric dependence method between two assets
This paper develops methodologies to measure spillover risks in European sovereign bond markets in the period 2004–15.
Valer Zetocha introduces a correlation model based on the Jacobi process with jumps
This paper provides a theoretical justification as to why investment firms typically set less strict stop-out rules for PMs with higher Sharpe ratios.
This paper focuses on the distribution of correlations among aggregate operational risk losses.
Clients face wider bid/offer spreads, as dealers struggle to find liquid hedges