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The emergence of CDS indices and corresponding credit risk transfer markets with high liquidity and narrow bid-ask spreads has created standard benchmarks for market credit risk and correlation against which portfolio credit risk models can be calibrated. Integrated risk management for correlation dependent credit derivatives, such as single-tranches of synthetic CDOs, requires an approach that adequately reflects the joint default behavior in the underlying credit portfolios. Another important feature for such applications is a flexible model architecture that incorporates the dynamic evolution of underlying credit spreads. In this paper, we present a model that can be calibrated to quotes of CDS index-tranches in a statistically sound way and simultaneously has a dynamic architecture to provide for the joint evolution of distance-to-default measures. This is accomplished by replacing the normal distribution by smoothly truncated ?-stable (STS) distributions in the Black/Cox version of the Merton approach for portfolio credit risk.
[Authors: Jochen Papenbrock, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi]
[Authors: Jochen Papenbrock, Svetlozar T. Rachev, Markus Höchstötter, Frank J. Fabozzi]
7947 Downloads28.05.2008
Datei downloaden Die Auseinandersetzung mit Risiken stellt seit jeher eine zentrale Aufgabe eines jeden Versicherungsunternehmens (VU) dar. Datensammlung, Risikoanalyse, Tarifierung und Reservierung sind wesentliche Bestandteile des Geschäfts von Versicherern und Rückversicherern. Dabei stand bisher meist die Analyse der Risiken der Versicherungsnehmer bzw. der resultierenden aktuariellen Risiken im Mittelpunkt. Noch relativ jung ist die systematische Betrachtung der Risiken, die das VU selbst betreffen- die Schwankung der gehaltenen Assets oder der Ausfall von Vertragspartnern. Die konsequente Fortführung dieser Entwicklung hin zu einer ganzheitlichen Analyse ist die Betrachtung der Risiken für den Betrieb des Unternehmens selbst – die operationellen Risiken (OpRisk). Der Artikel von Herrn Niels Kunzelmann und Herr Markus Quick (Dr. Peter & Company AG) beschäftigt sich mit den Möglichkeiten der Identifizierung, Messung und Steuerung dieser Risiken in VU.
18497 Downloads27.05.2008
Datei downloaden Aktuell vollzieht sich ein Paradigmenwechsel im Risikomanagement. Praktiker beginnen zu verstehen, dass extreme Ausschläge an Finanzmärkten möglichst realitätsgetreu abzubilden sind. Die Fokussierung auf das Phänomen starker Schwankungen ist aufgrund der steigenden Anforderungen an das Risikomanagement sowie wegen der höheren Komplexität vieler Finanzprodukte unbedingt erforderlich. Dadurch wird die Zukunftsfähigkeit herkömmlicher Ansätze grundsätzlich in Frage gestellt. Der vorliegende Artikel beleuchtet eine viel versprechende Klasse von Wahrscheinlichkeitsverteilungen, die diesen gewachsenen Ansprüchen gerecht wird: die α-stabile Verteilungsklasse.
9466 Downloads22.05.2008
Datei downloaden Das vorliegende Risikomodell dient der Quantifizierung von Risiken, die einem neuartigen Investment innewohnen: Dem Investment in Humankapital via eines Studienfonds, der Studierende fördert im Gegenzug einer Abtretung späterer Gehaltsanteile. Hierbei wird die Sicht der Investoren eingenommen und die Performance des Fonds im Maß eines internen Zinsfußes (IRR) gemessen. In einem parametrischen Modell wird mit geeigneten Schätzungen zunächst jedes einzelne Risiko beschrieben, dann alle Risiken mitsamt ihrer wechselseitigen Korrelationen umfassend analysiert. Schwer oder nicht zu quantifizierende Einzelrisiken sowie Makrorisiken werden gesammelt betrachtet und als Tail-Risiken modelliert. Die Analyse schließt mit Risikomaßen, die bekannten Finanzinstrumenten anderer Asset-Klassen gegenüber gestellt werden.
[Quelle: RISIKO MANAGER 08/2008, S. 1, 8-13]
[Quelle: RISIKO MANAGER 08/2008, S. 1, 8-13]
14527 Downloads13.05.2008
Datei downloaden This paper investigates the generalized parametric measurement methods of aggregate operational risk in compliance with the regulatory capital standards for operational risk in the New Basel Capital Accord (“Basel II”). Operational risk is commonly defined as the risk of loss resulting from inadequate or failed internal processes and information systems, from misconduct by people or from unforeseen external events. Our analysis informs an integrated assessment of the quantification of operational risk exposure and the consistency of current capital rules on operational risk. Given the heavy-tailed nature of operational risk losses, we employ extreme value theory (EVT) and the g-and-h distribution within a “full data” approach to derive point estimates of a unexpected operational risk at the 99.9th percentile in line with the Advanced Measurement Approaches (AMA). Although such internal risk estimates substantiate a close analytical representation of operational risk exposure, the accuracy and order of magnitude of point estimates vary greatly by percentile level, estimation method, and threshold selection. Since the scarcity of historical loss data defies back-testing at high percentile levels and requires the selection of extremes beyond a threshold level around the desired level of statistical confidence, the quantitative criteria of AMA standards appear overly stringent. A marginally lower regulatory percentile of 99.7% would entail an outsized reduction of the optimal loss threshold and unexpected loss at disproportionately smaller estimation uncertainty.
[Author: Andreas A. Jobst / Journal of Operational Risk, Vol. 2, No. 2, 2007]
[Author: Andreas A. Jobst / Journal of Operational Risk, Vol. 2, No. 2, 2007]
9282 Downloads13.05.2008
Datei downloaden In providing support for disaster-prone areas such as the Caribbean, the development community has begun to progress from disaster reconstruction assistance to funding for investment in mitigation as an explicit tool for sustainable development. Now it must enter a new phase: applying risk transfer mechanisms to address the financial risk of exposure to catastrophic events that require funding beyond what can be controlled solely through mitigation and physical measures.
Residual stochastic risks from catastrophic natural events can be addressed through insurance pooling and risk transfer mechanisms that provide the basis for financial protection and instill strong incentives for reducing vulnerability.
To reduce the economic stress after disasters, Pollner shows, World Bank instruments could be used to support initiatives to help correct market imperfections in catastrophe insurance. He takes a step-by-step approach to showing how both risk pooling structures and alternative catastrophe coverage mechanisms (long-maturity risk financing facilities, weather-indexed contracts, and capital market instruments) can achieve better risk protection and financing terms - enough to allow the expansion of insurance coverage of public assets and private property.
Pollner examines the insurable assets (private and public) in eight countries in the easternmost part of the Caribbean and, by quantifying the portion of the premium and risk used to fund catastrophe losses, shows that through pooling and the use of credit-type instruments for catastrophe coverage, governments and uninsured property owners or enterprises (with insurable assets) could expect to improve their terms of coverage. Neither local insurers nor reinsurers would suffer in profitability.
[World Bank Policy Research Working Paper No. 2560, 2001]
Residual stochastic risks from catastrophic natural events can be addressed through insurance pooling and risk transfer mechanisms that provide the basis for financial protection and instill strong incentives for reducing vulnerability.
To reduce the economic stress after disasters, Pollner shows, World Bank instruments could be used to support initiatives to help correct market imperfections in catastrophe insurance. He takes a step-by-step approach to showing how both risk pooling structures and alternative catastrophe coverage mechanisms (long-maturity risk financing facilities, weather-indexed contracts, and capital market instruments) can achieve better risk protection and financing terms - enough to allow the expansion of insurance coverage of public assets and private property.
Pollner examines the insurable assets (private and public) in eight countries in the easternmost part of the Caribbean and, by quantifying the portion of the premium and risk used to fund catastrophe losses, shows that through pooling and the use of credit-type instruments for catastrophe coverage, governments and uninsured property owners or enterprises (with insurable assets) could expect to improve their terms of coverage. Neither local insurers nor reinsurers would suffer in profitability.
[World Bank Policy Research Working Paper No. 2560, 2001]
7389 Downloads08.05.2008
Datei downloaden In the past decade, the legal system has done a remarkable job in absorbing the shockwaves of digital technology. As a result, the use of information and communication technologies in corporate settings in general and E-Business solutions in particular have become business as usual not only for dot-com managers, but increasingly also for inhouse lawyers and outside counsel.
The authors of this article, however, argue that the widespread use of digital communication technology on the part of business organizations leads at least in part (and most likely also latently) to new types of challenges when it comes to the management of risks at the intersection of law, technology, and the marketplace. In order to effectively manage these challenges and associated risks in diverse areas such as security, privacy, consumer protection, IP, and content governance, the authors call for an integrated and comprehensive compliance concept in response to the structural and substantive peculiarities of the digital environment in which corporations - both in and outside the dot-com industry - operate today.
The article starts with a brief overview of what we might describe as a shift from traditional compliance to e-Compliance. It then maps the central themes of E-Compliance and the characteristics of a comprehensive E-Compliance strategy. After discussing the key challenges of E-Compliance, the article outlines practical guidelines for the management of E-Compliance activities and ends with recommendations.
[Authors: Urs Gasser, Harvard University - Berkman Center for Internet & Society; University of St. Gallen / Daniel M. Haeusermann, University of St. Gallen - Research Center for Information Law (FIR-HSG)]
The authors of this article, however, argue that the widespread use of digital communication technology on the part of business organizations leads at least in part (and most likely also latently) to new types of challenges when it comes to the management of risks at the intersection of law, technology, and the marketplace. In order to effectively manage these challenges and associated risks in diverse areas such as security, privacy, consumer protection, IP, and content governance, the authors call for an integrated and comprehensive compliance concept in response to the structural and substantive peculiarities of the digital environment in which corporations - both in and outside the dot-com industry - operate today.
The article starts with a brief overview of what we might describe as a shift from traditional compliance to e-Compliance. It then maps the central themes of E-Compliance and the characteristics of a comprehensive E-Compliance strategy. After discussing the key challenges of E-Compliance, the article outlines practical guidelines for the management of E-Compliance activities and ends with recommendations.
[Authors: Urs Gasser, Harvard University - Berkman Center for Internet & Society; University of St. Gallen / Daniel M. Haeusermann, University of St. Gallen - Research Center for Information Law (FIR-HSG)]
8848 Downloads08.05.2008
Datei downloaden Pensionsfonds und andere institutionelle Anleger sind in aller Regel an ein bestimmtes Renditeziel (Rechnungszins) gebunden, das Jahr für Jahr in der Kapitalanlage erreicht werden muss. Bei der Methode der robusten Optimierung wird neben dem Investmentrisiko auch das Prognoserisiko in Bezug auf die erwarteten Renditen in die Modellierung der Asset Allocation einbezogen. Damit soll sichergestellt werden, dass ein Anleger seine Renditeziele auch bei fehlerhaften Prognosen zuverlässig erreicht.
[Autoren: Marko Hirsch/Jochen M. Kleeberg, Quelle: die bank, Ausgabe 4/2006, S. 20-24.]
[Autoren: Marko Hirsch/Jochen M. Kleeberg, Quelle: die bank, Ausgabe 4/2006, S. 20-24.]
12490 Downloads29.04.2008
Datei downloaden We extend the class of GARCH models to comprise asymmetric and nonlinear effects on volatility. In particular, we do not only explain future volatility of a time series on its own past, but allow for external influences and spillovers between capital markets. For this generalized class of models, the asymptotic behavior of the Quasi-Maximum-Likelihood estimator of model parameters is derived. The models are applied to time series of fx-rates. It is found that in particular the simple asymmetric models lead to improved performance.
10778 Downloads14.04.2008
Datei downloaden We examine the quantification of operational risk for banks. We adopt a financialeconomics approach and interpret operational risk management as a means of optimizing the profitability of an institution along its value chain. We start by defining operational risk and then propose a framework to model risk mitigation through the bank’s value chain over time. Using analytical and numerical methods, we obtain answers concerning capital allocation, network stability, risk figures, and diversification issues. Interpreting the results shows that the usual intuition gained from market and credit risk does not apply to the quantification of operational risk.
[Authors: Markus Leippold; Paolo Vanini]
[Authors: Markus Leippold; Paolo Vanini]
9708 Downloads14.04.2008
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