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Aggregation of incidence and intensity risk variables to achieve reconciliation
Hunt, Clive; Taplin, Ross - In: Risks : open access journal 7 (2019) 4/107, pp. 1-14
The aggregation of individual risks into total risk using a weighting variable multiplied by two ratio variables representing incidence and intensity is an important task for risk professionals. For example, expected loss (EL) of a loan is the product of exposure at default (EAD), probability of...
Persistent link: https://www.econbiz.de/10012127917
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Optimal reinsurance in the presence of counterparty default risk
Asimit, Alexandru V.; Badescu, Alexandru M.; Cheung, Ka Chun - In: Insurance / Mathematics & economics 53 (2013) 3, pp. 690-697
Persistent link: https://www.econbiz.de/10010227904
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Bowley solution under the reinsurer's default risk
Chen, Yanhong; Cheung, Ka Chun; Zhang, Yiying - In: Insurance : mathematics and economics 115 (2024), pp. 36-61
Persistent link: https://www.econbiz.de/10015066727
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The impact of different default triggers on CMBS risk evaluation
Christopoulos, Andreas D. - In: Journal of investment management : JOIM 15 (2017) 2, pp. 65-91
Persistent link: https://www.econbiz.de/10011700690
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Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
Jacobs, Michael <Jr.> - In: The journal of risk model validation 16 (2022) 3, pp. 73-111
Persistent link: https://www.econbiz.de/10014540601
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Dependence of defaults and recoveries in structural credit risk models
Schäfer, Rudi; Koivusalo, Alexander F. R. - In: Economic modelling 30 (2013), pp. 1-9
Persistent link: https://www.econbiz.de/10009702275
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A credit portfolio framework under dependent risk parameters : probability of default, loss given default and exposure at default
Eckert, Johanna; Jakob, Kevin; Fischer, Matthias - In: The journal of credit risk : published quarterly by … 12 (2016) 1, pp. 97-119
Persistent link: https://www.econbiz.de/10011566295
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Optimal reinsurance with regulatory initial capital and default risk
Cai, Jun; Lemieux, Christiane; Liu, Fangda - In: Insurance / Mathematics & economics 57 (2014), pp. 13-24
Persistent link: https://www.econbiz.de/10010402747
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Risk analysis probability of default : a stochastic simulation model
Montesi, Giuseppe; Papiro, Giovanni - In: The journal of credit risk : published quarterly by … 10 (2014) 3, pp. 29-86
Persistent link: https://www.econbiz.de/10010426467
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Considering the dependence between the credit loss severity and the probability of default in the estimate of portfolio credit risk : an experimental analysis
Di Clemente, Annalisa - In: Studi economici : rivista quadrimestrale 68 (2013) 1, pp. 5-24
Persistent link: https://www.econbiz.de/10010389432