The present project is related in the measurement of the risk and the improvement of the processes of monetary species …

The optimal stopping problem for the risk process with interests rates and when claims are covered immediately is … insurance company is made. It leads to essentially new risk process and the solution of optimal stopping probleln is different. …

Conditional Value-at-Risk (CVaR) measures the expected loss amount beyond VaR. It has vast advantage over VaR because … of its property of coherence. This paper gives an analytical solution in a complete market setting to the risk reward … problem faced by a portfolio manager whose portfolio needs to be continuously rebalanced to minimize risk taken (measured by …

This paper presents a set of benchmark moments for evaluation or estimation of quantitative capital structure models …

to the common score and intercepts, the rank and rating (for a risk-rated portfolio) specific sensitivity. This rank … specific sensitivity allows a risk rating to respond to its migrations to default, downgrade, stay, and upgrade accordingly. An … approach for parameter estimation is proposed based on maximum likelihood for observing rank outcome frequencies. Applications …

Most point-in-time PD term structure models used in industry for stress testing and IFRS9 expected loss estimation …

Abstract Given a risk outcome y over a rating system {R_i }_(i=1)^k for a portfolio, we show in this paper that the … rating indexes. These estimates are in average equal to the sample average risk over the portfolio and coincide with the … resolution to flip-over credit risk and a tool to determine the fair risk scales over a rating system. …