Parametric modelling

Marcelo Cruz: Robust estimation

A number of recent papers submitted to the Journal of Operational Risk on robust estimation reflect the concerns of the op risk modelling community about the reliability of parameter estimation in severity distributions

Benchmarking asset correlations

Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of…

Benchmarking asset correlations

Basel II stipulates that the asset correlation to be used in calibration of obligor risk weights is 20%. Here, Alfred Hamerle, Thilo Liebig and Daniel Rösch use a parametric model to empirically obtain asset correlations from a large database of…

Minimising extremes

Portfolio diversification often breaks down in stressed market environments, but the co-movement of asset prices in a tail risk regime may be modelled using a coefficient of tail dependence. Here, Yannick Malevergne and Didier Sornette show how such…

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