risk factors are correlated with each other and the degree of dependence individual firms have to the different types of … risk factors. Using a global vector autoregressive macroeconometric model accounting for about 80% of world output, we … propose a model for exploring credit risk diversification across industry sectors and across different countries or regions …

We develop a framework for modeling conditional loss distributions through the introduction of risk factor dynamics …

This paper considers a simple model of credit risk and derives the limit distribution of losses under different … results obtained indicate that if firm-specific risk exposures (including their default thresholds) are heterogeneous but come … from a common parameter distribution, for sufficiently large portfolios there is no scope for further risk reduction …

cardinal inputs to applications such as asset pricing and risk management. We propose a new metric for comparing these matrices …

. This risk management need for financial institutions motivated us to build a compact global macroeconomic model capable of … generating a conditional loss distribution of a credit portfolio and illustrate the effects of various global risk scenarios on …

agency problems, externalities, and moral hazard. Counterparty credit risk management (CCRM) practices, used by financial … institutions to assess credit risk and limit counterparty exposure, are the first line of defense against market disruptions with … make counterparty credit risk for exposures to the funds intrinsically more difficult to manage, both for regulated …

because of more effective risk management. In addition, they benefited from a decline in short-term interest rates and the …

The goal of integrated risk management in a financial institution is to measure and manage risk and capital across a … range of diverse business activities. This requires an approach for aggregating risk types (market, credit, and operational …) whose distributional shapes vary considerably. In this paper, we use the method of copulas to construct the joint risk …

by encouraging better and more systematic risk management practices, especially in the area of credit risk. We provide an … global banking system through possible changes in bank behavior; a set of issues around risk analytics such as model … validation, correlations and portfolio aggregation, operational risk metrics and relevant summary statistics of a bank’s risk …

risk factor dynamics. Asset value changes of a credit portfolio are linked to a dynamic global macroeconometric model … modeling framework is thus a step towards joint consideration of market and credit risk. The approach has several other … features of particular relevance for risk managers, such as the exploration of scale and symmetry of shocks, and the effect of …