In this paper we focus on the analysis of the effect of prediction and estimation risk on the loss distribution, risk measures and economic capital. When variables for the determination of probability of default and loss distribution have to be predicted because they are not available at the...

Estimating quantile sensitivities is important in many optimization applications, from hedging in financial engineering to service-level constraints in inventory control to more general chance constraints in stochastic programming. Recently, Hong (Hong, L. J. 2009. Estimating quantile...

The paper suggests a nonlinear and multivariate time series model framework that enables the study of simultaneity in returns and in volatilities, as well as asymmetric effects arising from shocks and an outside stock exchange. Using daily data 2000-2006 for the Baltic state stock exchanges and...

Microfinance in Mexico has developed at an accelerated pace and the efforts in credit risk management in this sector are scarce. The goal of this work is the construction of a Transition Probability Matrix in the rating of microcredits which can be used in the estimation of Value at Risk (VaR),...

La crise financière 2007-2008 a suscité une profusion de réactions et d'explications : on a évoqué le mimétisme des organismes, la cupidité de leurs dirigeants, la propension des traders à aimer le jeu. Elle est évidemment due à la conjonction de plusieurs facteurs. Nous mettons ici...

Modern risk management systems were developed in the early 1990s to provide centralized risk measures at the top level of financial institutions. These are based on a century of theoretical developments in risk measures. In particular, value at risk (VAR) has become widely used as a statistical...

The objective of this paper is to study the effect of importance sampling (IS) techniques on stochastic credit portfolio optimization methods. I introduce a framework that leads to a reduction of volatility of resulting optimal portfolio asset weights. Performance of the method is documented in...

Im vorliegenden Beitrag wird untersucht, wie die Assetkorrelation zwischen zwei Sektoren auf einfache Weise berechnet werden kann und wie sich unterschiedliche Korrelationsannahmen auf die Form und Risikomaße von Verlustverteilungen auswirken. Dazu werden Ausfallzeitreihen von zwei...