Related papers: KISS approach to credit portfolio modeling
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
Analytical, free of time consuming Monte Carlo simulations, framework for credit portfolio systematic risk metrics calculations is presented. Techniques are described that allow calculation of portfolio-level systematic risk measures…
High precision analytical approximation is proposed for variance-covariance based risk allocation in a portfolio of risky assets. A general case of a single-period multi-factor Merton-type model with stochastic recovery is considered. The…
This paper examines the implementation of a statistical arbitrage trading strategy based on co-integration relationships where we discover candidate portfolios using multiple factors rather than just price data. The portfolio selection…
Quantitative Investment, built on the solid foundation of robust financial theories, is at the center stage in investment industry today. The essence of quantitative investment is the multi-factor model, which explains the relationship…
We propose a highly efficient and accurate methodology for generating synthetic financial market data using a diffusion model approach. The synthetic data produced by our methodology align closely with observed market data in several key…
We set up a structural model to study credit risk for a portfolio containing several or many credit contracts. The model is based on a jump--diffusion process for the risk factors, i.e. for the company assets. We also include correlations…
Factor analysis is a flexible technique for assessment of multivariate dependence and codependence. Besides being an exploratory tool used to reduce the dimensionality of multivariate data, it allows estimation of common factors that often…
There is a great number of factors to take into account when building and managing an investment portfolio. It is widely believed that a proper set-up of the portfolio combined with a good, robust management strategy is the key to…
The project managers who deal with risk management are often faced with the difficult task of determining the relative importance of the various sources of risk that affect the project. This prioritisation is crucial to direct management…
We introduce a new method to calculate the credit exposure of European and path-dependent options. The proposed method is able to calculate accurate expected exposure and potential future exposure profiles under the risk-neutral and the…
We introduce a new numerical approximation method for functionals of factor credit portfolio models based on the theory of mod-$\phi$ convergence and mod-$\phi$ approximation schemes. The method can be understood as providing correction…
This paper considers the problem of measuring the credit risk in portfolios of loans, bonds, and other instruments subject to possible default under multi-factor models. Due to the amount of the portfolio, the heterogeneous effect of…
We design a system for risk-analyzing and pricing portfolios of non-performing consumer credit loans. The rapid development of credit lending business for consumers heightens the need for trading portfolios formed by overdue loans as a…
Estimating probability of failure in aerospace systems is a critical requirement for flight certification and qualification. Failure probability estimation involves resolving tails of probability distribution, and Monte Carlo sampling…
Assessment of risk levels for existing credit accounts is important to the implementation of bank policies and offering financial products. This paper uses cluster analysis of behaviour of credit card accounts to help assess credit risk…
We discuss suitable classes of diffusion processes, for which functionals relevant to finance can be computed via Monte Carlo methods. In particular, we construct exact simulation schemes for processes from this class. However, should the…
We consider the problem of the statistical uncertainty of the correlation matrix in the optimization of a financial portfolio. We show that the use of clustering algorithms can improve the reliability of the portfolio in terms of the ratio…
As more and more companies store their customers' data; various information of a person is distributed among numerous companies' databases. Different industrial sectors carry distinct features about the same customers. Also, different…
Growing scale of recommender systems require extensive tuning to respond to market dynamics and system changes. We address the challenge of tuning a large-scale ads recommendation platform with multiple continuous parameters influencing key…