Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
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…
This paper explores the implications for risk management of mental accounting of a call option with its underlying.
Australian bank in negotiations on settlement of Hanergy TFP warrants
Analytical risk contributions for non-linear portfolios
There is a rich seam to be mined in the provision of tools to calculate counterparty credit risk. Clive Davidson looks at what's on offer so far, and what could be coming on to the market.
Victor Dvortsov and Ken Dragoon present an analytical method for including market and operational risks when estimating utility portfolio value-at-risk.
Jon Gregory and Jean-Paul Laurent apply an analytical conditional dependence framework to the valuation of default baskets and synthetic CDO tranches, matching Monte Carlo results for pricing and showing significant improvement in the calculation of…
Does the global presence of large multinational companies diminish the diversification effect inequity portfolios? Gary Robinson argues that this is indeed the case, and suggests a remedy