Quantitative analysis
Squaring factor copula models
Tight spreads in the credit markets have forced investors to turn to innovative structures in their search for yield. One such structure is the synthetic CDO of CDO tranches, also known as CDO2. Prasun Baheti, Roy Mashal, Marco Naldi and Lutz Schloegl…
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
Time to smile
Cutting edge: Option pricing
Modelling counterparty credit exposure for credit default swaps
Modelling counterparty credit exposure for credit derivatives is more complicated than for non-credit products, since the reference credit and counterparty can exhibit positive default correlation. Here, Christian Hille, John Ring and Hideki Shimamoto…
A Markovian approach to modelling correlated defaults
Vladyslav Putyatin, David Prieul and Svetlana Maslova unveil a simple dynamic binomial credit model with a Poissonian mixing distribution to satisfy the constraints faced by financial institutions assessing their credit exposure in a consistent manner…
Citigroup
Quant analysis
Credit Mutuel
Quant analysis
Caja Castilla La Mancha
Quant analysis
Quant analysis by StructuredRetailProducts.com
Quant analysis
Newcastle
Quant analysis
A forward-looking adjustment for op risk quantification
Anupam Sahay and Ashish Dev present a general discussion of the basic elements of a rational framework for operational risk quantification. Then they focus on modelling the effect of internal controls and business environment on operational events. The…
A forward-looking adjustment
Cutting edge: Operational risk
The impact of PD/LGD correlations on credit risk capital
Guido Giese applies econometric estimates of correlations between default rates and loss given default rates to modern credit portfolio models to quantify their impact on the calculation of credit risk capital
Omega portfolio construction
The omega risk-adjusted performance measure with Johnson distributions accountscomprehensively and non-discretionarily for the first potentially persistent moments includingskewness and kurtosis. The Johnson-omega ratio thus overcomes the shortcomings of…
Quant analysis by StructuredRetailProducts.com
Quant analysis
NDF
Quant analysis by StructuredRetailProducts.com
Bayerische Landesbank
Quant analysis by StructuredRetailProducts.com
CBA Vita
Quant analysis by StructuredRetailProducts.com
Banco Urquijo
Quant analysis by StructuredRetailProducts.com
Replication of flexi-swaps
Ingmar Evers and Farshid Jamshidian describe a relatively new product known as a flexi-swap and discuss its application in securitisation. A flexi-swap gives a counterparty an option to amortise the interest rate swap at an accelerated pace. They show…
Rating properties and their implications for Basel II capital
Internal ratings
Common interests
Interest rates
La Caixa
Quant analysis by StructuredRetailProducts.com
Sanpaolo IMI Group
Quant analysis by StructuredRetailProducts.com