.... Angelo Corelli can be contacted at: angelocorelli@libero.it © Emerald Group Publishing Limited 2010 Financial modelling Financial risk Securities Credit Pricing The New Basel Accord (International Convergence of Capital Measurement and capital Standard, Basel II, 26 January 2004...

... but with the aspirational parameter ε in equation (13) providing an additional degree of freedom in an info‐gap setting where C is also a model parameter (matrix) and not necessarily the portfolio covariance matrix as in the conventional Sharpe ratio analysis. Portfolio investment Financial modelling...

... be contacted at: salvarez@um.es © Emerald Group Publishing Limited 2009 Borrowing Loss Beta factor Loss prevention Financial modelling The main variables affecting the credit risk of a financial asset are the probability of default (PD), the loss‐given default (LGD), and the exposure...

... 15 so that it terms of robustness the process model (12) and (13) leads to separability of the T and n dependence. Uncertainty management Information Financial modelling Trading in financial markets is a huge business with literally trillions of dollars changing...

... Financial modelling Investments Risk analysis Principal‐protected notes can protect investors' profits in recession, and become a popular instrument in financial markets. Their value can be linked to stock prices, interest rates, exchange rates and commodities. Stock‐linked and principal‐protected...

... of evaluation/validation of rating models. Stylianos Z. Xanthopoulos can be contacted at: sxantho@aegean.gr © Emerald Group Publishing Limited 2007 Credit rating Classification Banking Financial institutions Financial modelling Credit rating or credit scoring systems are important...

... variable (see, for example, Seeger, 2000). To this end, we introduce the following learning problem. Problem 2 (semi‐supervised MRE problem): Learning Learning methods Financial modelling Credit Most investors rely, at least to some extend, on quantitative models when allocating...

... Financial modelling The management of credit risk is now commonplace in large financial institutions where safeguards are needed to lower potential losses from defaults on loans. Quantitative methods for managing these and other risks are now required in most countries. In managing credit risk...

... Equity capital Risk analysis Bonds Financial modelling In this paper, we propose a new methodology to price and risk manage credit risky assets, based on the inference of the (risk‐neutral) default probabilities from plain vanilla equity options. Market practices follow, in general, the (so...

... Equity capital Risk analysis Calibration Bonds Financial modelling This paper implements the model described in the companion paper, “Pricing credit risk through equity options calibration, part 1 – theory” (in this journal issue), by using equity options and corporate bonds data of AOL Time...