Ambivalence in the regulatory definition of capital adequacy for credit risk has recently stirred the financial … generated from a portfolio of bank loans in the form of tranches with different seniority. By way of modelling Merton-type risk … optimal design of loan securitisation from the perspective of credit risk in potential collateral default. We propose a …

Many financial applications, such as risk analysis and derivatives pricing, depend on time scaling of risk. A common … is to examine time scaling of risk when returns follow a jump diffusion process. It is argued that a jump diffusion is … well-suited for the modeling of systemic risk, which is the raison d’etre of the Basel capital adequacy proposals. We …

This paper introduces a new model for portfolio credit risk incorporating default and spread widening in a simple and …. This model is applicable to portfolio credit risk management, stress test, or to fit into regulatory capital requirements …

coalition of investors (block-booking). Block-booking banks set offer prices to equalize downside risk across their offerings … distribution on non-tech IPOs during non-boom years, equalizing downside risk implies that the average initial return on tech …