Данная часть завершает серию консультационных публикаций Деана Фантаццини на тему «Эконометрический анализ финансовых данных в задачах управления риском». В...

We model multiyear loss distributions based on credit scores and macroeconomic risk drivers. In a two-step approach, we first model future default probabilities as functions of these risk factors and, second, model processes for the risk factors themselves. As an essential extension to one-year...

In this paper we develop a flexible and analytically tractable framework to compute the Credit Expected Shortfall in an explit if form through Kumaraswamy (1980) distribution with both default rate and recovery rate time-varying. The default rate is assumed to follow a square root process, and...

The purpose of the Special Issue "Quantitative Methods in Economics and Finance" of the journal Risks was to provide a collection of papers that reflect the latest research and problems of pricing complex derivates, simulation pricing, analysis of financial markets, and volatility of exchange...

Integrated risk management means the comprehensive and effective management all significant risks (affecting the bank's activities) and their interrelation, including building a corporate culture of risk management and integrating risk management into strategic planning. The significant risks...