Measuring the risk of a financial portfolio involves two steps: estimating the loss distribution of the portfolio from available observations and computing a quot;risk measurequot; which summarizes the risk of the portfolio. We define the notion of quot;risk measurement procedurequot;, which...

We propose a stable non-parametric algorithm for the calibration of pricing models for portfolio credit derivatives: given a set of observations of market spreads for CDO tranches, we construct a risk-neutral default intensity process for the portfolio underlying the CDO which matches these...

We introduce an alternative approach for computing the values of CDO tranche spreads in reduced-form models for portfolio credit derivatives (quot;top-downquot; models), which allows for efficient computations and can be used as an ingredient of an efficient calibration algorithm. Our approach...

Constant proportion portfolio insurance (CPPI) allows an investor to limit downside risk while retaining some upside potential by maintaining an exposure to risky assets equal to a constant multiple of the quot;cushion,quot; the difference between the current portfolio value and the guaranteed...