portfolio, one for market risk and one for credit risk. Similar approaches are common in banks’ internal models for economic … capital. Although it is known that joint market and credit risk of certain investments can be larger than the sum of risks … holdings or CDS portfolios – are also affected. There are realistic conditions under which credit risk (represented by ratings …

In many standard derivation and presentations of risk measures like the Value-at-Risk or the Expected Shortfall, it is … issue of errors stemming from the internal model estimation process in the context of credit risk, calling for margins of … framework of the Asymptotic Single Risk Factor model that represents the baseline for the derivation of the credit risk measures …

capital requirements that mitigates the perverse risk incentives observed, provided the set of acceptable risks is suitably …

We present a dialogue on Counterparty Credit Risk touching on Credit Value at Risk (Credit VaR), Potential Future … Adjustment (DVA), DVA Hedging, Closeout conventions, Netting clauses, Collateral modeling, Gap Risk, Re-hypothecation, Wrong Way … Risk, Basel III, inclusion of Funding costs, First to Default risk, Contingent Credit Default Swaps (CCDS) and CVA …

Margins are the major safeguards against default risk on a derivatives exchange. When the clearing house sets margin …

Risk measurement and pricing of financial positions are based on modeling assumptions, which are common assumptions on … model risk by considering a model space. First, we incorporate model risk into market risk measures by introducing model … weighted and superposed market risk measures. Second, we quantify model risk itself and propose axioms for model risk measures …