We provide a rigorous proof of granularity adjustment (GA) formulas to evaluate loss distributions and risk measures (value-at-risk) in the case of heterogenous portfolios, multiple systematic factors and random recoveries. As a significant improvement with respect to the literature, we detail...

This paper defines two distribution free goodness-of-fit test statistics for copulas. It states their asymptotic distributions under some composite parametric assumptions in an independent identically distributed framework. A short simulation study is provided to assess their power performances.

We define a new approach to manage prepayment, default and interest rate risks simultaneously in some standard asset-backed securities structures. We propose a parsimonious top-down approach, by modeling directly the portfolio loss process and the amortization process. Both are correlated to...