Extended-lister
Showing 491 - 499 of 499 entries
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Research Report
CreditMetrics Technical DocumentThis Technical Document describes CreditMetrics, a framework for quantifying credit risk in portfolios of traditional credit products (loans, commitments to lend, financial letters of credit), fixed income instruments, and market driven instruments subject to counterparty default (swaps, forwards, etc.). This is the first edition of what we intend will be an ongoing refinement of credit risk methodologies.
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 1Q97On measuring credit exposure The effect of EMU on risk management Streamlining the market risk measurement process
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Research Report
CreditMetrics Monitor - First Quarter 1998Managing credit risk with CreditMetrics and credit derivativesThe effect of systematic credit risk on loan portfolio value-at-risk and loan pricingSyndicated bank loan recoveryUses and abuses of bond default ratesErrata to the first edition of CreditMetrics Technical Document
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 4Q96Testing RiskMetrics volatility forecasts on emerging markets dataWhen is non-normality a problem? The case of 15 time series from emerging markets
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 3Q96Accounting for "Pull to Par" and "Roll Down" for RiskMetrics cashflows How accurate is the Delta-Gamma Methodology? VaR for basket currencies
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 2Q96An improved methodology for measuring VaR that allows for a more realistic model of financial return tail distributions A value-at-risk analysis of currency exposures underscoring the limitations of standard VaR when underlying market return distributions deviate significantly from normality Estimating index tracking error for equity portfolios
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 1Q96A Look at two methodologies which use a basic delta-gamma parametric VaR precept but achieve similar results to simulation Basel committee revises market risk supplement to 1988 capital accord
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 4Q95Exploring alternative volatility forecasting methods for the standard RiskMetrics monthly horizon How accurate are the risk estimates in portfolios which contain treasury bills proxied by LIBOR data? A solution to the standard cash flow mapping algorithm which sometimes leads to imaginary roots
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Research Report
RiskMetrics Monitor - RiskMetrics Monitor 3Q95Mapping and estimating VaR in interest rate swaps Adjusting correlation from nonsynchronous data