As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...

As part of Basel II's incremental risk charge (IRC) methodology, this paper summarizes our extensive investigations of constructing transition probability matrices (TPMs) for unsecuritized credit products in the trading book. The objective is to create monthly or quarterly TPMs with predefined...

This article presents a concept-guided approach to the assessment of risk in the life situations of children alleged to be maltreatment victims. This concept-guided risk assessment is theoretically based and is the first to use a nomological hierarchy which can yield itself to systematic testing...

We provide an analytical VaR approach for the credit portfolio with liquidity horizon and the constant level of risk. Given any time horizon, a two period credit portfolio loss model is derived and, at the end of the first period, the portfolio is rebalanced to ensure a constant level risk of...

In this work a trinomial tree representing the Heston model variance process is used to estimate the parameters for the Heston stochastic volatility model using historical daily observations of the asset.The results include estimates for all Heston model parameters as well as an estimated most...