The framework presented in this paper describes how a risk manager in a systematic and structured way can construct scenarios. It creates a natural platform where quantitative analysts, economists as well as top management within a large bank can discuss, quantify and implement scenarios. A key...

In this paper we develop a multi-period and multi-state portfolio credit risk model which is applicable to large dimensional portfolios like for example retail and mortgage portfolios. The model includes a methodology for estimation and simulation of systematic transition risk through a model...

The New Basel Capital Accord presents a framework for measuring operational risk which includes four degrees of complexity. In this paper we focus on a mathematical description of the Loss Distribution Approach (LDA), being the more rigorous and potentially more accurate approach towards which...