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...

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

Internal models of operational risk are all built based on the same guidelines provided by the regulators. However, we observe a broad range of practices among banks concerning modeling choices and calibration methods. It is thus relevant to discuss the relative importance of the main drivers...

Many asymptotic formulas exist for unrestricted integer partitions as well as for equal partitions of integers into a finite number of parts. We use an analogy with fermion gases and the tools of statistical physics to derive asymptotic formulas for distinct partitions with a large but finite...

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...

IFRS 9 norms require classifying non-defaulted loans into two stages depending on their credit quality evolution since initial recognition by the bank. In this paper, we propose an optimal way to perform this classification. Target values of some key performance indicators of the provisioning...

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...

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...

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...