Many large financial institutions compute the Value-at-Risk (VaR) of their trading portfolios using historical … Simulation and BRW methods are both under-responsive to changes in conditional risk; and respond to changes in risk in an … asymmetric fashion: measured risk increases when the portfolio experiences large losses, but not when it earns large gains. The …

The existing structural models of credit risk have relied almost exclusively on diffusion processes to model the … curves are sometimes flat or even downward-sloping. If a diffusion approach cannot capture the basic features of credit risk … model. The model is also consistent with many other stylized empirical facts in the credit-risk literature. …

loan risk-sharing to break down. In this case, the existence of a credit derivatives market will lead to a greater risk of …

Within the past two years, important advances have been made in modeling credit risk at the portfolio level … especially influential benchmarks for credit risk models, J.P. Morgan's CreditMetrics and Credit Suisse Financial Product …

We develop estimates of risk-based capital requirements for single-family mortgage loans held in portfolio by financial …. Based on simulations with varying input parameters, we find that appropriate capital charges for credit risk vary …

uncertainty on capital accumulation. In addition, we find a significantly negative short-run interaction term between share price …