Extended-lister
Showing 481 - 490 of 500 entries
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Research Report
RiskMetrics Journal - Winter 2002Mark-to-market, oversight, and sensitivity analysis of CDOs Importance sampling for credit portfolio simulation Economic capital allocation for credit risk Financial markets in the aftermath of the terrorist attacks
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Research Report
RiskMetrics Journal - Spring 2001The One-Factor CreditMetrics Model In The New Basel Capital Accord Term Structure Estimation for U.S. Corporate Bond Yields Risk Budgeting for Corporate Bond Portfolios Comparing Methods To Approximate Mortgage-Backed Security VaR
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Research Report
Return to RiskMetrics: the Evolution of a StandardOur fundamental risk-modeling framework. Return to RiskMetrics The Evolution of a Standard In October 1994, the risk management group at J.P. Morgan took the bold step of revealing its internal risk management methodology through a fifty page technical document and a free data set providing volatility and correlation information for roughly twenty markets. At the time, there was little standardization in the marketplace, and the RiskMetrics model took hold as the benchmark for measuring...
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Research Report
RiskMetrics Journal - Fall 2000Two articles in users' corner Calculating VaR through quadratic approximations Hypothesis test of default correlation and application to specific risk A comparison of stochastic default rate models
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Research Report
Journal: A Comparison of Stochastic Default Rate ModelsCollateralized Debt Obligations have sparked interest in portfolio default models over multiple horizons. For these, in contrast to single period models, there is little understanding of the impact of model assumptions. We investigate four multiple horizon models, each calibrated to the same set of input data. Our results show a significant disparity, showing that the issue of model choice is more consequential here than in the single period case.
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Research Report
RiskMetrics Journal - Spring 2000Two articles in users' corner Toward a Better Estimation of Wrong-way Credit Exposure Do Implied Volatilities Provide EarlyWarning of Market Stress? A Stress Test to Incorporate Correlation Breakdown
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Research Report
CreditMetrics Monitor - April 1999Three articles in CreditManager® users' cornerConditional approaches for CreditMetrics portfolio distributionsThe valuation of basket credit derivativesAn analytic approach for credit risk analysis under correlated defaults
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor Special Edition 1998How the formation of the EMU will affect RiskMetrics Overview of EMU, resulting changes in the RiskMetrics methodology, and a tool to conduct stress testing on EMU-related scenarios
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 4Q97A methodology to stress correlations What risk managers should know about mean reversion and jumps in prices
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 3Q97An investigation into term structure estimation methods for RiskMetrics When is a portfolio of options normally distributed?