Table of contents
Integrating Interest Rate Risk in Credit Portfolio Models
PETER GRUNDKEI. INTRODUCTION A typical shortcoming of most current credit portfolio models is the lack of a stochastic modeling of risk factors, such as interest rates or credit spreads…
Forecasting Retail Portfolio Credit Risk
DANIEL RÖSCH, HARALD SCHEULEA major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been…
Effect of Uncertainties in Modeling Tropical Cyclones on Pricing of Catastrophe Bonds: A Case Study
SIAMAK DANESHVARAN, ROBERT E. MORDENThe insurance industry, in general, accepts large risks due to the combined severity and frequency of catastrophic events; further, these risks are poorly defined given the small…
Arbitrage Algebra and the Price of Multi‐Peril ILS
MORTON N. LANEAt this year's third annual Bond Market Association Risk‐Linked Securities Conference, John Seo gave an excellent address entitled “Risk Management Tools for Investors.” The more…
Long‐Term Value at Risk
KEVIN DOWD, DAVID BLAKE, ANDREW CAIRNSOne of the most significant recent developments in the risk measurement and management area has been the emergence of value at risk (VaR). The VaR of a portfolio is the maximum…
Developing and Implementing a Stochastic Decision‐Support Model Within an Organizational Context: Part II—The Organization
KJETIL HØYLAND, ERIK RANBERG, STEIN W. WALLACEEnterprise risk management has been defined as the strategy that aligns the firm's business with the risk factors of its environment in the pursuit of strategic objectives…
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1526-5943Online date, start – end:
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- Nawazish Mirza