Multi-factor credit portfolio models are used widely today for managing economic capital and pricing collateralized debt obligations (CDOs) and asset-backed securities. Commonly, practitioners allocate capital to the portfolio components (sub-portfolios, counterparties, or transactions). The...

Determining contributions to overall portfolio risk is an important topic in risk management. For positions (instruments and sub-portfolios), this problem has been well studied, and a significant theory built, around the calculation of marginal contributions. We consider the problem of...

Most discussions of welfare and work have focused on how demographic characteristics, schooling, training, and work experience limit welfare mothers’ employment and wages, but they have largely ignored factors such as inappropriate workplace behaviors, expectations of discrimination and...

Dramatic reductions in welfare caseloads since passage of the Personal Responsibility and WorkOpportunity Reconciliation Act of 1996 have not allayed policy concerns about the employability of recipients remaining on the rolls. Analysis of potential barriers to employment can address whether...

This report summarises the findings of the task force. It is organised as follows. Section 2 starts with a discussion of the relevance of credit risk for central banks. It is followed by a short introduction to credit risk models, parameters and systems in Section 3, focusing on models used by...

We address the problem of allocating the counterparty-level credit valuation adjustment (CVA) to the individual trades composing the portfolio. We show that this problem can be reduced to calculating contributions of the trades to the counterparty-level expected exposure (EE) conditional on the...

Of great importance to management, the computation of trade-offs presents particular difficulties within DEA since the piecewise linear nature of the envelopment surfaces does not allow for unique derivatives at every point. We present a comprehensive framework for analyzing marginal rates, and...

Organizations in Canada's federal jurisdiction are required to adopt Employment Equity Programs (EEPs) designed to increase the presence of four traditionally underrepresented groups: women, aboriginal peoples, disabled persons, and visible minorities. This article reports the results of a study...