We investigate default probabilities and default correlations of Merton-type credit portfolio models in stress scenarios where a common risk factor is truncated. The analysis is performed in the class of elliptical distributions, a family of light-tailed to heavy-tailed distributions...

The main objective of this paper is to determine the scope of the use of derivatives by companies in B&H for specific purposes of financial risk management. The aim is to provide a comparative analysis with companies from Slovenia and Croatia in order to determine if companies in B&H use the...

This paper presents the first methodological proposal of estimation of the VaR. Our approach is dynamic and calibrated to market extreme scenarios, incorporating the need of regulators and financial institutions in more sensitive risk measures. We also propose a simple backtesting methodology by...

An important goal of financial risk regulation is promoting coordination. Law's coordinating function minimizes costly conflict and encourages greater uniformity among market participants. Likewise, privately developed market standards, such as standard-form contracts and rules incorporated into...

Financial risk model evaluation or backtesting is a key part of the internal model’sapproach to market risk management as laid out by the Basle Committee on BankingSupervision (2004). However there are a number of backtests that may be applied andthere is little guidance as to the most...

Volatility modelling is a key issue for the finance industry from an academic and practitioner perspective. This is understandable given the importance that volatility plays in risk management and the development of accurate risk measures in a univariate or multivariate framework. To illustrate,...

The previous political dispensation limited black people’s participation in the SouthAfrican economy. Poor credit records, lack of training, resulting in skills and capacitygaps further limited entry into the lending market. These aspects are considered themain limitations in obtaining finance...

Gegenstand der vorliegenden Untersuchung ist die systematische Risikobestimmung nach IFRS unter besonderer Berücksichtigung des IAS 17. Da komplexe Leasingtransaktionen ebenfalls andere bilanzielle Fragestellungen aufwerfen, werden Bilanzierungsnormen im Rahmen von drei Exkursen dargestellt,...

Contingent Claim Pricing with Applications to Financial Risk Management By Hua Chen 2008 Committee Chair: Samuel H. Cox and Shaun Wang Major Academic Unit: Department of Risk Management and Insurance This is a multi-essay dissertation designed to explore the contingent claim pricing theory with...

Although there have been substantial developments in financial reporting over recent years, the reporting of risk in statutory reports is still very much evolving. This comes as no surprise, given numerous definitions and subsequent measures of risk. In the financial services sector, the...