Modern regulatory capital standards, such as the Solvency II standard formula, employ a correlation based approach for … risk aggregation. The so-called "square-root formula" uses correlation parameters between, for example, market risk, non …

in EM; (2) LPPs with a higher ratio of industry are less likely to use accrual EM and real EM approaches based on … property transactions; and (3) LPPs with a hospital focus prefer accrual EM, while LPPs with a retail focus prefer long …-term accrual EM and sales manipulation …

to the mitigation of loss by a balance of opposing forces when bonds are reinvested. Their downside is resilient to … increasing correlation. This system is the kernel of a system for all assets but first focus is exclusively on bonds for their …

the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … to protect the more senior tranches from high losses. We analytically corroborate the observation that an extreme loss of … the subordinated creditor is likely to also yield a large loss of the senior creditor …