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One of the most significant recent developments in the risk measurement and management area has been the emergence of value at risk VaR. The VaR of a portfolio is the maximum loss that the portfolio will suffer over a defined time horizon, at a specified level of probability known as the VaR...
Enterprise risk management has been defined as the strategy that aligns the firm's business with the risk factors of its environment in the pursuit of strategic objectives. Mathematical models will always be part of enterprise risk management. By means of a case study, we discuss why it is...
At this year's third annual Bond Market Association RiskLinked Securities Conference, John Seo gave an excellent address entitled Risk Management Tools for Investors. The more colorful subtitle was along the lines of evaluating multiperil bonds and avoiding the Bermuda rectangle. Yes, rectangle....
I. INTRODUCTION A typical shortcoming of most current credit portfolio models is the lack of a stochastic modeling of risk factors, such as interest rates or credit spreads, during the revaluation process at the risk horizon. For example, fixed income instruments, such as bonds or loans, are...
The insurance industry, in general, accepts large risks due to the combined severity and frequency of catastrophic events further, these risks are poorly defined given the small amount of data available for extreme events. It is important for the equitable transfer of risk to understand and...
A major topic in retail lending is the measurement of the inherent portfolio credit risk. The needs for a better understanding and dealing with default risky securities have been reinforced by the Basel Committee on Banking Supervision 1999a, 1999b, 2000, 2001a, 2001b, 2002, 2003 which has...
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