Starting from the Merton framework for firm defaults, we provide theanalytics and robustness of the relationship between defaultprobabilities and default correlations. We show that loans with higherdefault probabilities will not only have higher variances but also highercorrelations with other...

Entscheidungsunterstützungssysteme (EUS) zählen zu den zahlreichen Errungenschaften derWirtschaftsinformatik. Diese speziellen Anwendungssysteme unterstützen Führungskräfteaus dem mittleren und oberen Management bei Entscheidungsprozessen durch dieBereitstellung relevanter Informationen und...

The recent real estate bubble was fuelled by non-risk adjusted lending policies, low interest rates and complex finance vehicles. Mortgage-backed securities (MBS) played a crucial role in the crisis. These vehicles were praised as liquid capital market instruments that allowed mortgage lenders...

CII Introduction: The UK insurance sector lies at a critical juncture in its long and eventful history. On the one hand, insurers are feeling the recessionary pinch in the form of a capital squeeze and a hardening market, but they can still benefit from escaping the contagion in the global...

Leader's Statement of the G20 Pittsburgh Summit, What's Systemic Risk, Framework for Mitigating Systemic Risk, Japanese Safety-net for Deposit-taking Financial Institutions...

Financial crisis an insurance, Ten consequences for Risk Management and Supervision, Conclusion regarding an IGF...

Three propositions: Insurance Companies can be systemic importance; Insurance companies should be subject to tougher regulation and supervision; Risks should be assessed on a group-wise basis...

IACPM is a non-profit industry association developed to Further the management of credit exposures by providing a forum for members to exchange ideas, foster research on credit portolio management, represent members before legislative and admistrative bodies...

Financial firms have a vast array of possible investments to choose from and products to sell. The financial market changes fast and in the future will likely look very different than in the past. Risk Management in general has the tendency to lag behind these innovation since it is often much...

Before - The use of ratings; During- Responses, Reactions, Lessons Learnt; After- BReakouts, Conclusions...