This paper analyzes the insurability of pandemic risk and outlines how underwriting policies and scenario analysis are used to build resilience upfront and plan contingency actions for crisis scenarios. It then summarizes the unique “lessons learned” from the Covid-19 crisis by baselining...

This paper describes a new and intuitive methodfor answering these technical questions by tabulating theexact loss distribution arising from correlated credit eventsfor any arbitrary portfolio of counterparty exposures, downto the individual contract level, with the losses measuredon a...

In order to take advantage of credit portfolio management opportunities, management must first answer several technical questions: What is the risk of a given portfolio? How do different macroeconomic scenarios, at both the regional and the industry sector level, affect the portfolio's risk...

This paper was presented at the panel session entitled “Risk managers on default probability for prime sovereigns”, held during the seminar on sovereign risk hosted by the BIS in January 2013.Full publication: "http://ssrn.com/abstract=2420000" Sovereign Risk: A World Without Risk-Free Assets?

This paper was presented at the conference "Financial services at the crossroads: capital regulation in the twenty-first century" as part of session 2, "Credit risk modeling." The conference, held at the Federal Reserve Bank of New York on February 26-27, 1998, was designed to encourage a...