We discuss the CreditRisk+ methodology from the perspective of the moment generating function of the credit factors. This representation lends itself to a new recursion formula for the portfolio loss distribution that is more accurate and considerably faster, particularly for large portfolios. We discuss how the model can be extended to incorporate correlations between risk factors and derive t...

The views expressed in this paper are those of the authors and do not necessarily reflect those of the Reserve Bank of Australia. A number of people (both within the Reserve Bank and from other banks) provided useful comments. We are particularly grateful to Phil Lowe, Brian Gray and the bank that provided the data for testing.

We use the conditional distribution and conditional expectation of one random variable given the other one being large to capture the strength of dependence in the tails of a bivariate random vector. We study the tail behavior of the boundary conditional cumulative distribution function (cdf) and two forms of conditional tail expectation (CTE) for various bivariate copula families. In general, ...

Results from portfolio models for credit risk tell us that loan concentration in certain industry sectors can substantially increase the value-at-risk (V aR). The purpose of this paper is to analyse if a very tractable “infection model” can provide a meaningful estimate of the impact of concentration risk on the V aR. This would be achieved with quite parsimonious data requirements, which are c...

Using an “action at a distance” formulation we probe the possible classical interactions for tensionless strings, (the T → 0 limit of the ordinary bosonic string.) We find Gμν and Bμν type interactions but no dilaton interactions. e-mail address: [email protected] e-mail address: [email protected], [email protected]

Maximum Relative Drawdown measures the largest percentage drop of the price process on a given time interval. More recently, Maximum Relative Drawdown has become more popular as an alternative measure of risk. In contrast to the Value at Risk measure, it captures the path property of the price process. In this article, we propose a partial differential equation approach to determine the theoret...

Authors’ addresses: C. Jauffret, Université Sud Toulon-Var, CNRS, IM2NP (UMR 6242), Bâtiment X, BP 132, 83957 La Garde Cedex, France, Email: ([email protected]); D. Pillon, Thales Underwater Systems, 525 Route des Dolines, 06903 Sophia-Antipolis, France, Email: ([email protected]); A. C. Pignol, Université Sud Toulon-Var, CNRS, IM2NP (UMR 6242), Bâtiment X, BP 132, 83957 La Gar...

This paper discuss findings of a follow-up study with alumni of three graduate courses known as "professional master" oriented toward institutional innovation in management of science and technology, offered by Oswaldo Cruz Foundation to its employees. The study analyzed alumni profile and characteristics, identified evidence of changes in their original workplace and assessed the relationship ...