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The End of the Waterfall: Default Resources of Central Counterparties
Cont, Rama - 2015
, and prompted discussions on CCP risk management standards and safeguards for recovery and resolutions of CCPs in case of … failure. We contribute to the debate on CCP default resources by focusing on the incentives generated by the CCP loss … allocation rules for the CCP and its members and discussing how the design of loss allocation rules may be used to align these …
Persistent link: https://www.econbiz.de/10012143872
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Central Clearing and Risk Transformation
Cont, Rama - 2017
have centred on the solvency of CCPs, their capital and 'skin-in-the-game' and capital requirements for CCP exposures of …
Persistent link: https://www.econbiz.de/10012143902
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Coherent and Convex Fair Pricing and Variability Measures
Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
In this paper, we show that coherent upper and lower previsions as well as coherent risk measures are only meaningful under the assumption that one starts with initial wealth being constantly 0. This implies at least for coherent upper and lower previsions a correction of their interpretation,...
Persistent link: https://www.econbiz.de/10005858724
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Contribution values for allocation of risk capital and for premium calculation
Denneberg, Dieter; Maass, Sebastian - Institut für Schweizerisches Bankwesen <Zürich> - 2005
A class of contribution values for pairs of random variables is introduced as a technical tool for the problem how the risk capital needed for a portfolio of random activities should be allocated to its components. The well known allocation model with expected shortfall as corresponding risk...
Persistent link: https://www.econbiz.de/10005858735
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On the Network Topology of Variance Decompositions: Measuring the Connectedness of Financial Firms
Diebold, Francis X.; Yılmaz, Kamil - 2011
We propose several connectedness measures built from pieces of variance decompositions, and we argue that they provide natural and insightful measures of connectedness among financial asset returns and volatilities. We also show that variance decompositions define weighted, directed networks, so...
Persistent link: https://www.econbiz.de/10010500191
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An Intensity Based Non-Parametric Default Model for Residential Mortgage Portfolios
Burkhard, Jürg; De Giorgi, Enrico - Institut für Schweizerisches Bankwesen <Zürich>; … - 2004
In June 2003 Swiss banks held over CHF 500 billion in mortgages. This important segment accounts for about 63% of all loan portfolios of Swiss banks. Since default insurance is not common in Switzerland, the corresponding risks are a severe threat for the health of the financial system. We...
Persistent link: https://www.econbiz.de/10005858102
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Optimal Importance Sampling for Credit Portfolios with Stochastic Approximation
Egloff, Daniel; Leippold, Markus; Jöhri, Stephan - Institut für Schweizerisches Bankwesen <Zürich> - 2005
We introduce an adaptive importance sampling method for the loss distribution of credit portfolios based on the Robbins-Monro stochastic approximation procedure. After presenting the subtle construction of the algorithm, we apply our adaptive scheme for calculating the risk figures of a typical...
Persistent link: https://www.econbiz.de/10005858875
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Credit Migration Derivatives: Implementation,Calibration, and Pricing
Andersson, Andreas - National Centre of Competence in ResearchFinancial … - 2009
We consider the modelling of credit migration risk and the pricing of migration derivativesour approach enlarges the traditional setup where credit risk is based on default solely.We implement the Regime Shifting Markov Mixture model developed in Andersson (2007)and Andersson and Vanini (2008)...
Persistent link: https://www.econbiz.de/10005868719
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Credit Migration Risk Modelling
Andersson, Andreas; Vanini, Paolo - National Centre of Competence in ResearchFinancial … - 2009
We consider the modelling of credit migration risk and the pricing of migrationderivatives. To construct a Point-in-Time (PIT) rating migration matrix as the underlyingvalue for derivative pricing we show first that the Affine Markov Chain models isnot sufficient to generate PIT migration...
Persistent link: https://www.econbiz.de/10005868720
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Why and how to integrate liquidity risk into a VaR-framework
Stange, Sebastian; Kaserer, Christoph - 2008
We integrate liquidity risk measured by the weighted spread into a Value-at-Risk (VaR) framework. The weighted spread …
Persistent link: https://www.econbiz.de/10010305731