Values of tranche spreads of collateralized debt obligations (CDOs) are driven by the joint default performance of the assets in the collateral pool. The dependence between the names in the portfolio mainly depends on current economic conditions. Therefore, a correlation implied from tranches...

The question of measuring and managing systemic risk - especially in view of the recent financial crises - became more and more important. We study systemic risk by taking the perspective of a financial regulator and considering the axiomatic approach originally introduced in Chen et al. (2013)...

In this short paper we provide a new representation result for dynamic capital allocations and dynamic convex risk measures that are based on backward stochastic differential equations. We derive this representation from a classical differentiability result for backward stochastic differential...