calculating the risk figures of a typical medium-sized credit risk portfolio with 2000 obligors. Simulating the tail of the loss … the application of stochastic approximation methods in risk management.Keywords …

We derive a general framework for collateral risk control determination for central bank's open market operations. This … framework allows us to determine the schedule of haircuts consistent with the risk tolerated by the central bank while at the …, if the bank fixes its risk exposure, which is related to its risk appetite, the required haircut can be extracted …