default swaps (CDSs) and a money market account. We model contagion risk among the reference entities in the portfolio using a … risk …

The credit valuation adjustment (CVA) of OTC derivatives is an important part of the Basel III credit risk capital … of the derivative, but also the probability of default of a counterparty. Another complication arises in the calculation … needed to incorporate the wrong-way risk. A semi-analytical CVA formula simplifying the interest rate swap (IRS) valuation …

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 …

The incremental risk charge (IRC) is a new regulatory requirement from the Basel Committee in response to the recent … generated. The second Monte Carlo simulation is the random draws based on the constant level of risk assumption. It convolutes …

I study dynamic hedging for variable annuities under basis risk. Basis risk, which arises from the imperfect … performance. I investigate whether the choice of a suitable hedging strategy can help to reduce the risk for the insurance company … better than all tested one-instrument strategies. A more substantial risk reduction could, however, be achieved by …

products break down. So, we provide an estimation of the basis risk that arises when hedging credit portfolios with different … credit indices, to answer the following questions: Is there enough diversification of risk in a global credit portfolio to … allow for a good hedge? Is basis risk higher in North America than in Europe? Does the effectiveness of the hedge increase …

study also shows that the profitability can be maximised and the risk can be hedged by employing other metrics like VIX …