This article provides an in-depth analysis of the pricing and structuring of contingent convertibles (CoCos) with extension risk. Under the new regulatory Basel III framework, CoCo bonds can be categorised as either belonging to the Additional Tier 1 or Tier 2 capital category. The Tier 1 CoCo...

The use of internal Bank models for meeting capital requirements has been approved for some time. Regulators then face issues of model approval necessitating some public domain analysis of model performance. This paper presents a new approach to risk model evaluation using forward looking risk...

To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables. As the individual risk factors are often positively dependent, the classical convolution technique will not be sufficient. On the other...

To evaluate the aggregate risk in a financial or insurance portfolio, a risk analyst has to calculate the distribution function of a sum of random variables. As the individual risk factors are often positively dependent, the classical convolution technique will not be sufficient. On the other...

The risk conscious investor is defined as the maximizer of a conservative valuation or dynamically a nonlinear expectation. Both the static and dynamic problems are addressed using distortions of tail probabilities or distortions of tail measures. The multivariate static problem is solved in the...

Asset backed securities (ABSs) are structured finance products backed by pools of assets and are created through a securitisation process. The risks in asset backed securities, such as, credit risk, prepayment risk, market risks, operational risk, and legal risks, are directly connected with the...