Quant Perspectives
QUANT PERSPECTIVES
A new calibration method for aggregating
economic capital offers simpler implementation, among other
advantages.
QUANT PERSPECTIVES
A reconsideration of the well-known credit
rating transition dynamic.
RISK TECHNIQUES
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.
RISK ANALYSIS
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
solution.
RISK TECHNIQUES
Developing an effective model for the
correlation between probability of default and loss-given is a
challenging, but worthwhile, endeavor.
More Quant Perspectives
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How to count the number of scenarios used
in the Fully Flexible Probabilities framework, while also enabling
the computation of the statistical confidence level in any risk
numbers. |
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An approach for stress-testing corporate
portfolios that can not only yield credible, transparent results
but also lead to improved accuracy of probability of default and
loss-given default forecasts. |
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How to emphasize certain historical
scenarios for risk and portfolio management, according to their
similarity with the current market conditions. |
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Visually introducing a powerful risk
manangement tool to generalize and stress-test
correlations. |
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How to relax the Vasicek portfolio loss
distribution assumptions of an infinite number of loans and of the
homogeneity of loan characteristics. |
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The first of a two-part article on the path
from data analysis to optimal execution across all asset classes
and investment styles. |