Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
New smoothing technique claims to overcome flaws in risk rating scales
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
The gate array way
Risk awards 2012
A popular copula
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
An analytical framework for credit portfolio risk measures
Multi-period portfolio optimisation for structured investment strategies
Name concentration correction
Several financial institutions use single-period models to determine their credit portfolio loss distribution, calculate their loss volatility and assign economic capital.
Credit portfolio models often assume that recovery rates are independent of default probabilities. Here, Jon Frye presents empirical evidence showing that such assumptions are wrong. Using US historical default data, he shows that not only are recovery…