The Basel Committee on Banking Supervision (quot;the Committeequot;) released a consultative document that included a regulatory capital charge for operational risk. Since the release of the document, the complexity of the concept of quot;operational riskquot; has led to vigorous and recurring...

Credit limit management is of paramount importance for successful short-term credit-risk management, even more so when the situation in credit and financial markets is tense. We consider a continuous-time model where the credit provider and the credit taker interact within a game-theoretic...

The strong autocorrelation between economic cycles demands that we analyze credit portfolio risk in a multiperiod setup. We embed a standard one-factor model in such a setup. We discuss the calibration of the model to Standard amp; Poor's ratings data in detail. But because single-period risk...

The Basel Committee on Banking Supervision (quot;the Committeequot;) released a consultative document that included a regulatory capital charge for operational risk. The complexity of the object quot;operational riskquot; led from the time of the document's release to vigorous and recurring...

We show that for a production unit of a bank with well-defined workflows operational risk can be unambiguously defined and quantitatively modelled. The results of this modelling exercise are relevant for the implementation of a risk management framework: It turns out, that only a small share of...

Market frictions inhibit the perfect replication of property derivatives, and define the property spread as a price measure in the incomplete real estate market. We identify transaction costs, transaction time, and short sale constraints as the main frictions in this market. Based on these...

Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 1999). The rationale for these financial instruments seems clear, as many households are heavily invested in housing and standard financial...

We introduce a framework that analyzes the interplay of credit risk and collateral market risk on loan pricing. That for, we decompose any loan in unsecured and secured part. We further consider explicitly the recovery process. The framework allows us to develop semi-analytical pricing formulas...

Comparing realized dividends with dividend forecasts, we propose to describe dividend risk by a truncated t-distribution. We then investigate the impact of dividend uncertainty on European and American option prices. We find that the impact of dividend uncertainty on option prices is negligible...