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» Tutorial on Portfolio Credit Risk Management
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WSC
2004
14 years 3 days ago
Tutorial on Portfolio Credit Risk Management
The distribution of possible future losses for a portfolio of credit risky corporate assets, such as bonds or loans, shows strongly asymmetric behavior and a fat tail as the conse...
William J. Morokoff
WSC
2004
14 years 3 days ago
Portfolio Credit Risk Analysis Involving CDO Tranches
Credit risk analysis for portfolios containing CDO tranches is a challenging task for risk managers. We propose here a basis function approach for CDO tranche valuation and portfo...
Menghui Cao, William J. Morokoff
WSC
2004
14 years 3 days ago
Calibrating Credit Portfolio Loss Distributions
Determination of credit portfolio loss distributions is essential for the valuation and risk management of multiname credit derivatives such as CDOs. The default time model has re...
Menghui Cao, William J. Morokoff
SIAMFM
2011
75views more  SIAMFM 2011»
13 years 1 months ago
Dynamic Hedging of Portfolio Credit Derivatives
As shown by the recent turmoil in credit markets, much remains to be done for the proper risk management of credit derivatives. In particular, the static copula-based models commo...
Rama Cont, Yu Hang Kan
IOR
2010
71views more  IOR 2010»
13 years 8 months ago
Stochastic Root Finding and Efficient Estimation of Convex Risk Measures
Reliable risk measurement is a key problem for financial institutions and regulatory authorities. The current industry standard Value-at-Risk has several deficiencies. Improved ri...
Jörn Dunkel, Stefan Weber