Quant Perspectives
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.
THE QUANT CLASSROOM
How to count the number of scenarios used in
the Fully Flexible Probabilities framework, where the relative
weight of each scenario is arbitrary, while also enabling the
computation of the statistical confidence level in any risk
numbers.
CREDIT RISK
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.
THE QUANT CLASSROOM
How to emphasize certain historical
scenarios for risk and portfolio management, according to their
similarity with the current market conditions.
More Quant Perspectives
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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. |
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How to build an effective yield-curve model
using the dynamic Nelson-Siegel framework. |
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The "Q" world of derivatives pricing and
the "P" world of risk and portfolio management are different, but
not so different. |