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

Within the last decade, credit risk management of financial institutions has been subject to major changes due to the … influence the portfolio at a later stage. Alternative solutions for risk mitigation like selling the obligation (e.g. via an … credit derivatives, risk management has received a broad range of possibilities to transfer credit risk easily without …

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 …

We find that commodity risk is priced in the cross-section of US stock returns. Following the financialization of … commodities, investors hedge commodity price risk directly in the futures market, primarily via commodity index investments … market investors increasingly participate in commodity futures markets, stock market risk is also priced in the cross …

The introduction of CCPs in most derivative transactions will dramatically change the landscape of derivatives pricing …, hedging and risk management, and, according to the TABB group, will lead to an overall liquidity impact about 2 USD trillions … variation and initial margins, gap credit risk and collateralization, showing concrete examples for interest rate swaps …