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Modellierung des Kreditrisikos im Portfoliofall
Cremers, Heinz; Walzner, Jens - 2009
valuation techniques. A sound understanding of already existing credit pricing models is necessary for such a development. These … ; structural models ; intensity-based models ; reduced-form models ; credit derivatives ; credit default swap ; pricing ; valuation … for financial institutions. At the same time, the use and the valuation of credit derivatives has been widely criticised …
Persistent link: https://www.econbiz.de/10003874932
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Risikosteuerung mit Kreditderivaten unter besonderer Berücksichtigung von Credit Default Swaps
Cremers, Heinz; Walzner, Jens - 2007
derivatives ; credit derivatives market ; credit default swap ; credit risk transfer ; pricing ; valuation ; default spread …
Persistent link: https://www.econbiz.de/10003750300
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Default probabilities and default correlations
Erlenmaier, Ulrich; Gersbach, Hans - 2001 - First Version: April 2000, This Version: October 2001
Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...
Persistent link: https://www.econbiz.de/10010503718
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A Stochastic Dominance Approach to Financial Risk Management Strategies
Chang, Chia-Lin - 2015
The Basel III Accord requires that banks and other Authorized Deposit-taking Institutions (ADIs) communicate their daily risk forecasts to the appropriate monetary authorities at the beginning of each trading day, using one of a range of alternative risk models to forecast Value-at-Risk (VaR)....
Persistent link: https://www.econbiz.de/10013024752
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International Evidence on GFC-Robust Forecasts for Risk Management Under the Basel Accord
McAleer, Michael - 2011
A risk management strategy that is designed to be robust to the Global Financial Crisis (GFC), in the sense of selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models, was proposed in McAleer et al. (2010c). The robust forecast is based on the median of the...
Persistent link: https://www.econbiz.de/10013131430
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GFC-Robust Risk Management Strategies under the Basel Accord
McAleer, Michael - 2010
A risk management strategy is proposed as being robust to the Global Financial Crisis (GFC) by selecting a Value-at-Risk (VaR) forecast that combines the forecasts of different VaR models. The robust forecast is based on the median of the point VaR forecasts of a set of conditional volatility...
Persistent link: https://www.econbiz.de/10013137384
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A stochastic dominance approach to the Basel III dilemma : expected shortfall or VaR?
Chang, Chia-Lin; Jiménez-Martín, Juan-Ángel; … - 2015
The Basel Committee on Banking Supervision (BCBS) (2013) recently proposed shifting the quantitative risk metrics system from Value-at-Risk (VaR) to Expected Shortfall (ES). The BCBS (2013) noted that - a number of weaknesses have been identified with using VaR for determining regulatory capital...
Persistent link: https://www.econbiz.de/10010532611
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Application of Synthetic Straddles for Equity Risk Management
Trifonov, Yuriy - 2013
A model of building and using synthetic straddles has been developed; it enables an investor to significantly reduce its individual equity risk related to its own basic assets, i.e. shares. The Black-Scholes model, which is regarded as a classical model, cannot be used for this purpose for the...
Persistent link: https://www.econbiz.de/10013083472
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Risk management with thinly traded securities : methodology and implementation
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - 2013
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10011303812
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Thinly traded securities and risk management
Bernales, Alejandro; Beuermann, Diether W.; Cortazar, … - In: Estudios de economía 41 (2014) 1, pp. 5-48
Thinly traded securities exist in both emerging and well developed markets. However, plausible estimations of market risk measures for portfolios with infrequently traded securities have not been explored in the literature. We propose a methodology to calculate market risk measures based on the...
Persistent link: https://www.econbiz.de/10010385821