Alignment on principles needed “in short order”, says Basel working group chair
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
Autoencoders can detect changes in relationship between assets in real time
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
With investors sometimes struggling to find hedge funds that deliver uncorrelated, consistent returns, Sandbar Asset Management stands out from its peers. Its success in running an equity market-neutral strategy is a reflection of its founder and chief…
Regulators urged to make swift decision on exempting small end-users
Combination of banking and insurance regulators offers opportunity to co-ordinate debt reduction measures
Researchers find multiple, asymmetric cores in interbank market, posing different systemic risks
Stress testing and modeling of rating migration under the Vasicek model framework: empirical approaches and technical implementation
This paper is concerned with stress testing the Vasicek model by extending the correlation structure for nondefault ratings. Two models are proposed.
This paper develops a method for estimating the full systematic risk of bonds and thereby enables a fuller understanding of the risk and return on fixed-income instruments.
Ex-Goldman partner says size, crowding and equity risk are bad for quant funds
Such hedge funds cannot be assessed just by data
Construction of large portfolios consistent with investors' views and stress test scenarios is a challenging task, considering the volume of information to be processed. Attilio Meucci, David Ardia and Marcello Colasante introduce a technique that…
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Systematic risk factors redefined
An analytical framework for credit portfolio risk measures