- Counterparty Credit Risk
- Economic Capital and Credit Risk
- Risk Management - General
- Valuation and Structured Credit
Tsui, L. K., 2011: A Multi-Factor Bottom-Up Model for Pricing Credit Derivatives. Journal of Computational Finance, forthcoming.
In this paper we continue the study of the stress event model, a simple and intuitive dynamic model for credit risky portfolios, proposed by Duffie and Singleton (1999). The model is abottom-up version of the multi-factor portfolio credit model [..]
Rosen D., 2010, Re-Thinking Valuation: The Credit Crisis, Illiquid Markets and Model Risk, Chapter 33 in “Rethinking Risk Measurement and Reporting: Uncertainty, Bayesian Analysis and Expert Judgement”, Klaus Böcker Editor, Riskbooks
In this chapter, we discuss several lessons and best practices that we are relearning as the global banking system copes with the legacy of the crisis. Given the inevitable limitations of our models, we stress the importance of a model risk and scenario analysis framework. While the main points are general, we focus on examples of the credit crisis and, in particular, industry experience in the area of structured finance. [..]
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 [..]
Nedeljkovic, J., Rosen, D. and Saunders, D. , 2010, The Journal of Credit Risk, 6 (3), pp. 53–97.
The current financial crisis has highlighted the need for transparent and robust methods for valuing and hedging structured credit portfolios. First-generation models such as Gaussian copula-based methods have documented practical and theoretical limitations well. In this paper we demonstrate the practical application of the weighted Monte Carlo methodology [...]
Rosen D. and Saunders D., 2009, Journal of Credit Risk, 5(3).
This paper presents a robust and practical CDO valuation framework based on the application of multi-factor credit models in conjunction with weighted Monte Carlo techniques used in options pricing. The general factor framework produces arbitrage-free prices and can be used to [...]
Aguais S., Forest L., Rosen D., 2000, Commercial Lending Review,16(4), pp. 12-30.
We present a general option-valuation framework for loans that provides valuation
information at loan origination and supports mark-to-market analysis, portfolio
credit risk and asset and liability management for the entire portfolio. We
describe, in detail, the main structures found in [...]