to condition default intensities of mortgages on relevant economic risk drivers. We calibrate our model on a large … from CreditRisk+ as commonly applied in the industry. The conditional loss distribution and risk measures for a large … aggregated res-idential mortgage default risk is not only driven by the rating but also by variables such as the loan …

We examine the quantification of operational risk for banks. We adopt a financial-economics approach and interpret … operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining … operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical …

through the emergence of quantitative Risk Management, EVT has entered more recently the finance stage as a useful to olkit for …

In this paper, we characterize explicitly the first derivative of the Value at Risk and the Expected Shortfall with … example in order to illustrate the impact of netting agreements in credit risk management. We further provide nonparametric …

. The problem addressed is the control of risk, and in particular the risk associated with errors in the estimation of … returns on assets. The framework for investment risk is a geometric Brownian motion model for asset prices, with random rates … reached, the wealth goals approach provides greater control over downside risk and upside growth. The wealth goals approach …

and hedging have received little interest inthe theoretical finance literature. Risk management issues that arise in …

The paper develope a models for evaluating the optimal hedging and trading strategies under default risk mitigation … asset value, but they may create two additional risks such as default and liquidity risk. Default risk can be mitigated via … depend on counterparty, credit quality. The liquidity risk may arise from the inability to fund a hedging strategy (to top up …

the Silvermann's method. This paper can be seen as a model risk study that emphasizes the possible errors induced by the …