[Update: Within four weeks of the original publication of this research report, Risk Magazine reported in its 28th February 2012 issue story titled 'Goodbye VaR? Basel to Consider Other Risk Metrics': "A review of trading book capital rules, due to be launched in March by the Basel Committee on...

This paper investigates one main of credit derivatives instruments, known as credit default swaps. CDS is very popular instruments in the credit market which is trading by governments, firms, investors. Credit default swaps, is contracted between two parties for a one party payment small amount...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

Large banks assess their regulatory capital for market risk using complex, firm-wide Value-at-Risk (VaR) models. In their 'bottom-up' approach to VaR there are many sources of model risk. A recent amendment to banking regulations requires additional market risk capital to cover all these model...

Various economic theories are available to explain the existence of credit and default cycles. There remains empirical ambiguity, however, as to whether or these cycles coincide. Recent papers_new suggest by their empirical research set-up that they do, or at least that defaults and credit...

We revisit the incentive effects of elimination tournaments with a fresh approach to identification, the results of which strongly support that performance improves under the threat of elimination and does so, but only in part, due to increases in risk taking. Where we can separately identify...