Search results

Basic AJDs are attractive for modeling default times in [[credit risk]] applications,<ref name="DufGar01"/><ref name="Mor06"/><ref name="Eck09" / ...ournal | author = Darrell Duffie, Nicolae Gârleanu | year = 2001 | title = Risk and Valuation of Collateralized Debt Obligations | journal = Financial Anal ...

...ommittee]] (2020). [https://www.bis.org/basel_framework/chapter/MAR/50.htm Credit valuation adjustment framework]</ref> introduced under [[Basel 3]]; A '''Credit valuation adjustment''' ('''CVA'''), ...

...|Calculated number that reflects the level of risk in the presence of some risk factors}} {{For|measurement in risk management|Risk level}} ...

...ich is assumed to follow the stochastic differential equation (under the [[risk-neutral measure]]): ...gies+for+Efficient+Risk+Management-p-9781119609612 Perturbation Methods in Credit Derivatives] has shown how analytic prices can be conveniently deduced in m ...

'''Unicity (<math>\varepsilon_p</math>)''' is a risk metric for measuring the re-identifiability of high-dimensional [[Data anon ...nt records. In the case of mobile phone meta-data, [[Card Transaction Data|credit card transaction]] histories and many other types of personal data, this in ...

After the [[2007–2008 financial crisis]], to accommodate credit risk, the now-standard pricing framework is the ''multi-curves framework'' where ...//arxiv.org/ftp/arxiv/papers/1103/1103.2567.pdf ''Interest Rates after The Credit Crunch: Multiple-Curve Vanilla Derivatives and SABR'']</ref><ref name=PTIRD ...

== Applications to credit risk modeling == ....html URL] [http://www.carloalberto.org/files/no.41.pdf PDF]</ref> model [[credit default swap]]s under variance gamma. In an extensive empirical test they s ...

...nomy of the United States|US economy]]. Jarvis and MacMillan quantify this risk within specific businesses and industries in a ratio form as "Consumer Leve *[https://hbr.org/2009/06/the-next-crisis Consumer Credit: The Next Crisis] ...

...t money so that they could receive back from the students without too much risk. If banks are willing to lend $6,000,000 to the student, then, it is said t ...y Rao Aiyagari (1994),<ref>Aiyagari, S Rao, 1994. "Uninsured Idiosyncratic Risk and Aggregate Saving," The Quarterly Journal of Economics, MIT Press, vol. ...

{{Short description|Financial risk}} {{Distinguish|Value at risk}} ...

...8094|title= Project Update: Accounting for Financial Instruments{{em dash}}Credit Impairment|author=<!--Staff writer(s); no by-line.--> |date= May 20, 2015|w ...n incurred, revised cash flow projections may indicate changes in [[credit risk]]. These revised expected cash flows are [[discounted]] at the same effecti ...

...sed by both buy-side and sell-side in alpha generation, trading execution, risk management, and market surveillance and compliance. There is however a good ...web|url=http://www.northinfo.com/documents/313.pdf |title=Equity portfolio risk (volatility) estimation using market information and sentiment |publisher=N ...

...he fixed payments to floating. In doing so the investor retains the credit risk to the fixed-rate bond and earns a corresponding return. The asset swap mar ...the bond in the market. Both parties to the swap are assumed to be AA bank credit quality and so these cash flows are priced off the Libor curve. We cancel o ...

...y the insurer is sufficient to be able to reinvest in an asset of the same credit quality and receive the same cashflows. Assets that have a modified spens c ...y funds provided a spens clause was included in order to manage prepayment risk: ...

....{{sfn|Ensslin|Milligan|Holttinen|O'Malley|2008|p=3}}) wind power capacity credit of 5%, 20 [[gigawatt]]s (GW) worth of wind power needs to be added to the s There are a few similar definitions of the capacity credit:{{sfn|Dent|Keane|Bialek|2010}}{{sfn|Söder|2015|p=2209}} ...

...n]]s, and [[Leverage (finance)|leverage]], with the goal of mitigating the risk of [[bank run]]s and [[bank failure]]s. It was developed in response to the ...banks to have a minimum CET1 ratio (Common [[Tier 1 capital]] divided by [[risk-weighted asset]]s (RWAs)) at all times of: ...

...ation increases the return/risk ratio. Measures of risk include [[value at risk]], [[expected shortfall]], and portfolio return [[variance]].<ref>{{cite jo ...he effects of misspecified marginals and copulas on computing the value at risk: A Monte Carlo study.|journal=Computational Statistics & Data Analysis|date ...

...date=2022-06-01 |title=Modelling bursts and chaos regularization in credit risk with a deterministic nonlinear model |url=https://www.sciencedirect.com/sci ...

...www.bis.org/bcbs/publ/d295.pdf|title=International framework for liquidity risk measurement, standards and monitoring|page=6|website=bis.org|access-date=12 ...rg/publ/bcbs188.htm|title=Basel III: International framework for liquidity risk measurement, standards and monitoring|date=16 December 2010|access-date=8 A ...

..." /> It has also been used in the pricing of [[fixed income]] and [[credit risk]] and has been combined with other [[time series]] methods such as [[GARCH] [[Category:Financial risk modeling]] ...