Technical paper/Asymptotic theory
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
Operational risk models and asymptotic normality of maximum likelihood estimation
In this paper, the author studies how asymptotic normality does, or does not, hold for common severity distributions in operational risk models.
Pitfalls and solutions in current risk management methodology
Volume 16, Issue 5 (2014)