We show how to restructure the counterparty risk faced by the originator of a securitization or covered bond arising from an interest rate hedging swap assisted by a "one-way" collateral agreement. This risk emerges when the swap is negotiated between the special purpose vehicle and a third...

Is an option to early terminate a swap at its market value worth zero? At first sight it is, but in presence of counterparty risk it depends on the criteria used to determine such market value. In case of a single uncollateralised swap transaction under ISDA between two defaultable...

In a simplified setting, we show how to price invoice non-recourse factoring taking into account not only the credit worthiness of the debtor but also the assignor's one, together with the default correlation between the two. Indeed, the possible default of the assignor might impact the payoff...

Within the context of risk integration, we introduce in risk measurement stochastic holding period (SHP) models. This is done in order to obtain a 'liquidity-adjusted risk measure' characterized by the absence of a fixed time horizon. The underlying assumption is that - due to changes on market...

We analyse the effectiveness of modern deep learning techniques in predicting credit ratings over a universe of thousands of global corporate entities obligations when compared to most popular, traditional machine-learning approaches such as linear models and tree-based classifiers. Our results...

Real operational loss data exhibit in some cases power laws on a wide part of the tail distributions, with sharp deviations far on the right suggesting they decrease to zero faster at infinity. Taking into account such deviations when modelling operational risk leads to great differences in VaR...