Extended-lister
Showing 131 - 140 of 152 entries
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Research Report
RiskMetrics Journal - Winter 2005Distribution of Defaults in a Credit Basket Risk Budgeting for Pension Plans Incorporating Equity Derivatives into the CreditGrades™ Model Adaptations of Monte Carlo Simulation Techniques to American Option Pricing
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Research Report
RiskMetrics Journal - Winter 2004Fixed Income Risk Attribution Issues int the Pricing of Synthetic CDOs Risk Management for Non-Financial Corporations
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Research Report
RiskMetrics Journal - Winter 2003Specific risk for long-term horizons Risk attribution for asset managers Risk and expectations in the crude oil market in recent months
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Research Report
RiskMetrics Journal - Fall 2003Examples and Applications of Closed-Form CDO Pricing Liquidity Risk: Current Research and Practice Interest-Rate Expectations in Recent Months
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Research Report
RiskMetrics Journal - Summer 2002Estimating issuer-specific risk for corporate bonds Estimation of zero-coupon curves in DataMetrics A primer on Vega risk measurement in RiskManager Market developments in the first half of 2002
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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.