- Aggregated Loss Distribution in Retail
Banking, Capital Requirements, and Mortgage Backed Credit Portfolios,
Ali Chabaane (BNP Paribas), Antoine Chouillou (BNP Paribas and Evry
University), Jean-Paul Laurent (BNP Paribas, ISFA, Lyon and Ecole
Polytechnique) and Julien Salomon (BNP Paribas)
- Simple Tests for Models of Dependence
Between Financial Time Series: with Applications to U.S. Equity Returns
and Exchange Rates, Xiaohong Chen (New York University), Yanqin
Fan (Vanderbilt University, Tennessee) and Andrew Patton (London School
of Economics)
- The Grouped t-copula with an Application
to Credit Risk, Stéphane Daul (Quantitative Risk Management
Methods Swiss Re), Enrico De Giorgi (RiskLab ETH Zurich), Filip Lindskog
(RiskLab ETH Zurich) and Alexander McNeil, (ETH Zurich)
- Risk Assessment for Banking Systems,
Helmut Elsinger (University of Vienna), Alfred Lehar (University of
British Columbia) and Martin Summer (Oesterreichische Nationalbank)
- Calibrating the CreditMetricsTM
Correlation Concept for Non-Publicly-Traded Corporations - Empirical
Evidence from Germany, Lutz Hahnenstein (IKB Deutsche Industriebank
AG)
- Estimating Expected Shortfall Contributions
within the Conditional Independence Framework using Importance Sampling,
Sandro Merino (UBS Warburg) and Mark Nyfeler (UBS Warburg)
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