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Background filtrations and canonical loss processes for top-down models of portfolio credit risk
Ehlers, Philippe (contributor);  … - 2007
In single-obligor default risk modelling, using a background filtration in conjunction with a suitable embedding hypothesis (generally known as H-hypothesis or immersion property) has proven a very successful tool to separate the actual default event from the model for the default arrival...
Persistent link: https://www.econbiz.de/10003549840
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Beyond cash-additive risk measures : when changing the numéraire fails
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo - 2013
We discuss risk measures representing the minimum amount of capital a financial institution needs to raise and invest in a pre-specified eligible asset to ensure it is adequately capitalized. Most of the literature has focused on cash-additive risk measures, for which the eligible asset is a...
Persistent link: https://www.econbiz.de/10010258580
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Capital requirements with defaultable securities
Farkas, Walter; Koch Medina, Pablo; Munari, Cosimo-Andrea - 2013
We study capital requirements for bounded financial positions defined as the minimum amount of capital to invest in a chosen eligible asset targeting a pre-specified acceptability test. We allow for general acceptance sets and general eligible assets, including defaultable bonds. Since the...
Persistent link: https://www.econbiz.de/10010258584
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Dependent defaults and losses with factor copula models
Ackerer, Damien; Vatter, Thibault - 2016
We present a class of flexible and tractable static factor models for the term structure of joint default probabilities, the factor copula models. These high-dimensional models remain parsimonious with pair-copula constructions, and nest many standard models as special cases. The loss...
Persistent link: https://www.econbiz.de/10011619282
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Risk measures based on benchmark loss distributions
Bignozzi, Valeria; Burzoni, Matteo; Munari, Cosimo-Andrea - 2018
We introduce a class of quantile-based risk measures that generalize Value at Risk (VaR) and, likewise Expected Shortfall (ES), take into account both the frequency and the severity of losses. Under VaR a single confidence level is assigned regardless of the size of potential losses. We allow...
Persistent link: https://www.econbiz.de/10011900226
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Time-changed Lévy LIBOR market model for the joint estimation and pricing of caps and swaptions
Leippold, Markus; Stromberg, Jacob - 2012 - This version: May 18, 2012
We propose a novel time-changed L évy LIBOR market model for the joint pricing of caps and swaptions. The time changes are split into three components. The first component allows us to match the volatility term structure, the second generates stochastic volatility, and the third one...
Persistent link: https://www.econbiz.de/10009558358
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Affine variance swap curve models
Filipović, Damir - 2012
This paper provides a brief overview of the stochastic modeling of variance swap curves. Focus is on affine factor … any pre-speci fied points on the variance swap curve. This should facilitate the empirical estimation for such stochastic … contrast to variance swap models, their yield factor representation requires imposing constraints on systems of nonlinear …
Persistent link: https://www.econbiz.de/10009558387
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The term structure of equity and variance risk premia
Aït-Sahalia, Yacine; Karaman, Mustafa; Mancini, Loriano - 2018
significant price jump component in variance swap rates. A model-based analysis shows that investors' willingness to ensure …
Persistent link: https://www.econbiz.de/10011899885
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Conditions for quantum interference in cognitive sciences
Jukalov, Vjačeslav I.; Sornette, Didier - 2013
We present a general classification of the conditions under which cognitive science, concerned e.g. with decision making, requires the use of quantum theoretical notions. The analysis is done in the frame of the mathematical approach based on the theory of quantum measurements. We stress that...
Persistent link: https://www.econbiz.de/10009751180
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Comments on: Nonparametric tail risk, stock returns and the macroeconomy
Camponovo, Lorenzo; Scaillet, Olivier; Trojani, Fabio - 2016
Persistent link: https://www.econbiz.de/10011518800