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Principles for Modeling Incremental Default Risk in the Trading Book
Autor : Martin Neumann
Firma : brokerbase Switzerland
Kunde : Bank
Schlagwörter:
incremental, default risk in the trading book, accelerated basis, impact of liquidity, concentrations, diversification, hedging, optionality, systematic and idiosyncratic events, Portfolio view,
aggregate default loss from credit-risky positions, comparable to internal-ratings, infinitely large, ASRF model, PD, LGD, correlation, measured market basis, P&L calculated, subtracting
recovery value, Liquidity horizon – definition, Hedging, CDS protection, Systematic hedges, Systematic versus idiosyncratic risk, Correlations/diversification, Optionality, Default probability,
translate risk neutral default probability to natural default probability, Loss given default, Exposure at default

Neu in den working paper:

Marktrisiko : historische Simulation des Value at Risk

Autor : Martin NeumannFirma : brokerbase Switzerland

Kunde : Vermögensverwaltung

Schlagwörter:

Neu in den Working paper:

Klassifikation von OpRisk – Ereignissen und ihre Quantifizierung

Autor : Martin Neumann

Firma : brokerbase Switzerland

Kunde : Bank

Schlagwörter: Risk Event Classification, data integrity and quality, Tail–Adjusted Normal (TAN) distributions, μ, s, kurtosis, misclassification of loss events, VaRs, severity distribution, Splitting Losses, “operational risk loss event, “monetary impact, risk categories, Employee, Business Process, Relationships, Technology, External, Zurich IC2 Operational Risk Event Classification Scheme, Internal Fraud, Damage to Physical Assets, External Fraud, Business Disruption & System Failures, Employment Practices & Workplace Safety, Execution, Delivery, & Management Process, Clients, Products, & Business Services

Marktrisiko : historische Simulation des Value at Risk

Autor : Martin Neumann

Firma : brokerbase Switzerland

Kunde : Vermögensverwaltung

Schlagwörter:

Klassifikation von OpRisk – Ereignissen und ihre Quantifizierung

Autor : Martin Neumann

Firma : brokerbase Switzerland

Kunde : Bank

Schlagwörter: Risk Event Classification, data integrity and quality, Tail–Adjusted Normal (TAN) distributions, μ, s, kurtosis, misclassification of loss events, VaRs, severity distribution, Splitting Losses, “operational risk loss event, “monetary impact, risk categories, Employee, Business Process, Relationships, Technology, External, Zurich IC2 Operational Risk Event Classification Scheme, Internal Fraud,  Damage to Physical Assets, External Fraud,  Business Disruption & System Failures, Employment Practices & Workplace Safety,  Execution, Delivery, & Management Process, Clients, Products, & Business Services

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