A new calibration method for aggregating
economic capital offers simpler implementation, among other
A reconsideration of the well-known credit
rating transition dynamic.
In Western Europe, occupational pension
funds -- particularly defined benefit schemes -- run the risk of
being unable to live up to their promises. An examination of the
Dutch pension system shows that an overhaul is necessary.
The housing crisis demonstrated the
dependency between default and recovery risks. Standard EC models
do not capture this important link, but there is a better
Developing an effective model for the
correlation between probability of default and loss-given is a
challenging, but worthwhile, endeavor.