We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models.

Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link...

Athletes are aware that the outcome of a sport competition is uncertain. First, the opponents they face are sampled more or less at random, depending on how the elimination draw is designed. Second, the results of individual contests are themselves subject to the laws of probability.Top athletes...

The risk of securitization exposures comes from credit risk on the underlying pool of assets or collateral. Peeks in credit risk may lead to high losses for equity and mezzanine tranches, and may lead to some losses on senior tranches as well. Additionally to credit losses, commingling risk or...

Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link...

French Abstract: Le but de ce cours est, d'une part de décrire l'ensemble de la chaîne du risque de crédit dans la banque (marché du crédit cash et dérivé, gestion du risque, mesure de performance, allocation de capital et gestion d'un portefeuille bancaire), et d'autre part de donner aux...

The recent publication of the IFRS 9 norms has emphasized the fact that a shared and comprehensive methodology for PD analytics on credit portfolios was still lacking. Credit risk assessment is often static and short term because the industry has focused on assessing risk over a one year...

We propose a portfolio approach for operational risk quantification based on a class of analytical models from which we derive new results on the correlation problem. In particular, we show that uniform correlation is a robust assumption for measuring capital charges in these models

When a financial asset is attached with an option whose underlying is the financial asset itself, both the price and its dynamics are modified. This article is based on a concrete example that occurred in September 2001. When PPR offered Gucci's shareholders a guarantee on the price of the Gucci...

One main problem of credit models, as in stochastic volatility models for instance, is that the range of arbitrage prices of risky bonds and credit derivatives is very wide. In this article, we present a model for pricing options on the spread in an environment where the rating transition...