Posts tagged ‘credit risk’
RiskMinds 2011 – Geneva, December 5-9 on October 11th, 2011
RiskMinds 2011
Geneva
December 5-9, 2011
Global Derivatives Trading & Risk Management – Chicago, November 14-19 on October 11th, 2011
Global Derivatives USA
Chicago, IL
November 14-17, 2011
R² CEO Rosen on CVA (SCI) on October 11th, 2011
“While it is good to push the boundaries of financial engineering with talk of securitising CVA, we also have to understand our own limitations” – Dan Rosen, CEO R2 Financial Technologies
RiskCapital 2011 – September 19-22, Frankfurt on September 19th, 2011
RiskCapital 2011
Frankfurt
September 19-22, 2011
7th Fixed Income Conference – Berlin, October 5-7 on September 19th, 2011
7th Fixed Income Conference
Berlin
October 5-7, 2011
Valuation of Structured Finance Products with Implied Factor Models on May 26th, 2011
Nedeljkovic J., Rosen D. and Saunders D., 2011, Valuation of Structured Finance Products with Implied Factor Models, in Credit Risk Frontiers: Subprime Crisis, Pri.ing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley
The recent credit crisis has highlighted limitations of the industry’s general understanding and risk management practices of structured credit portfolios. Market participants clearly misunderstood and underestimated the risks in many securities, especially with respect to the default correlation, systematic risk and contagion effects. In particular, pricing models [..]
Credit Risk Contributions on May 26th, 2011
Rosen D., and Saunders D., 2011, Credit Risk Contributions, Chapter 22 in Credit Risk Frontiers: Subprime Crisis, Pricing and Hedging, CVA, MBS, Ratings, and Liquidity, T. Bielecki, D. Brigo, F. Patras (Editors), Wiley, 2011
Once the risk of a portfolio is calculated, a natural question to ask is: where does the risk come from and what are the main contributors? We present a survey of the theory and practical uses of risk contributions in credit risk management. Applications presented include the computation of portfolio credit risk and the contributions of systematic and [..]