This paper analyzes the relation between agency conflicts and risk management in a contingent claims model of the firm … issued. The paper also examines managers risk-shifting incentives and provides an analysis of the benefits associated with … risk management in different economic enviromnents. …

This paper develops a quantitative framework for analyzing the impact of macroeconomic conditions on credit risk and …

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 …