Purpose – The implementation of credit risk models has largely relied either on the use of historical default dependence, as proxied by the correlation of equity returns, or on risk neutral equicorrelation, as extracted from CDOs. Contrary to both approaches, the purpose of this paper is to...

Counterparty risk is usually defined as the risk which stems from the fact that the counterparty of a derivative contract is not solvent before or at expiration. As most of the derivative trading activity has been moving from standardized products quoted on futures‐style markets, towards...

Purpose – This article aims to examine the existence of an underwriting cycle in property‐liability insurance for France, Germany and Switzerland (primary markets) and for the European reinsurance industry. It is also aimed to test how the two markets are related with each other in each...