Subscribe to DSC Newsletter

John A Morrison's Blog – March 2009 Archive (9)

Liquidity Risk The Interbank Market and Game Theory

Interbank markets may fail to allocate liquidity efficiently due to: asymmetric information about the quality of banks’ assets, banks’ free-riding on each other’s liquidity or on central bank liquidity; or as a consequence of predatory behaviour forcing ineffiient liquidation of bank assets. These are the (reasonably) well understood features of the "Game Theory" of the global interbank market.



It is becoming generally understood (particulalry in banking software development) that… Continue

Added by John A Morrison on March 31, 2009 at 2:31am — No Comments

Structured Credit Instruments (Toxic Assets) Theory and Practice of Quantitative Fair Value

We at asymptotix have been publishing again!



This is all part of the 'Theory Forge' (or theoretical framework) which I have been initiating recently. Our publications work (we think) by explaining more fully our theoretical point of view & our specific approach to quantitative analytics in risk management and finance. The content is mostly taken from the higher level theoretical background with which we approach specific client engagements.



Our new publications are two… Continue

Added by John A Morrison on March 31, 2009 at 12:30am — No Comments

What am I doing with my blogging? A Theory Forge for Quantitative Risk Management!

Is it a vanity project? Am I writing a story with a beginning a middle and an end? In a way Yes! I really started blogging here on Analytic Bridge, Vincent Granville encouraged me, back in the day when Analytic Bridge had few members. I thought Analytic Bridge was an optimal place to blog references to banking supervision papers which had a quantitative orientation generally and I think I was correct in that. Now I have to blog corporately, I have to support the company in which I am a partner.… Continue

Added by John A Morrison on March 11, 2009 at 12:00am — No Comments

How to find plausible, severe, and useful stress scenarios - Oesterreichische Nationalbank

Thomas Breuer Martin Jandacka

Klaus Rheinberger Martin Summer



[The authors] give a precise operational definition to three requirements the Basel Committee on Banking Supervision specifics for stress tests: Plausibility and severity of stress scenarios as well as suggestiveness of risk reducing actions. The basic idea of our approach is to define a suitable region of plausibility in terms of the risk factor distribution and search systematically for the worst portfolio loss over… Continue

Added by John A Morrison on March 6, 2009 at 5:00am — No Comments

Are Banks Different? Evidence from the CDS Market - Oesterreichische Nationalbank (OeNB)

Burkhard Raunig and Martin Scheicher Oesterreichische Nationalbank (OeNB)

February 16, 2009



This paper uses regression analysis to compare the market pricing of the default risk of banks to that of other firms. The authors study how CDS traders discriminate between banks and other type of firms and how their judgement changes over time, in particular, since the start of the recent financial turmoil. The authors use monthly data on the Credit Default Swaps (CDS) of 41 major banks… Continue

Added by John A Morrison on March 6, 2009 at 4:30am — No Comments

Economic (Risk) Capital - How To - References

Recently I published a White Paper (WP) on Credit Risk Economic Capital, Open Source R and High Performance Computing. REvolution Computing kindly supported this paper. The paper is extensively referenced and more and more right now I am being asked about the references, as a body of work in their own right, which indeed they are, my paper isn't really necessary (although I would argue that REvolution is!). My paper simply glues together in a narrative, that body of theoretic work which… Continue

Added by John A Morrison on March 3, 2009 at 11:27pm — No Comments

CEPR DP7083 Firm Default and Aggregate Fluctuations

DP7083 Firm Default and Aggregate Fluctuations



Author(s): Tor Jacobson , Rikard Kindell , Jesper Lindé , Kasper F. Roszbach



This paper studies the relation between macroeconomic fluctuations and corporate defaults while conditioning on industry affiliation and an extensive set of firm-specific factors. Using a multiperiod logit approach on a panel data set for all incorporated Swedish businesses over 1990-2002, we find strong evidence for a substantial and stable impact of… Continue

Added by John A Morrison on March 3, 2009 at 10:10am — No Comments

Loss, Default, and Loss Given Default Modeling

New Paper



by Jiří Witzany, University of Economics, Prague.



ABSTRACT



The goal of the Basle II regulatory formula is to model the unexpected loss on a loan portfolio. The regulatory formula is based on an asymptotic portfolio unexpected default rate estimation that is multiplied by an estimate of the loss given default parameter. This simplification leads to a surprising phenomenon when the resulting regulatory capital depends on the definition of default that… Continue

Added by John A Morrison on March 3, 2009 at 10:03am — No Comments

Aggregate bankruptcy rates and the macroeconomic environment: Forecasting systematic probabilities of default

Aggregate bankruptcy rates and the macroeconomic environment: Forecasting systematic probabilities of default



by Dewaelheyns N; Van Hulle C.



K.U.Leuven, Faculty of Economics and Applied Economics, Department of Accountancy, Finance and Insurance (AFI), Research Center



Abstract



Recent empirical research has stressed the importance of economy wide factors in the assessment of default risk, for instance for bond portfolios or portfolios of bank loans.… Continue

Added by John A Morrison on March 2, 2009 at 11:00pm — No Comments

On Data Science Central

© 2020   TechTarget, Inc.   Powered by

Badges  |  Report an Issue  |  Privacy Policy  |  Terms of Service