The new BIS 1998 capital requirements for market risks allows banks to use internal models
to assess regulatory capital related to both general market risk and credit risk for their trading …

Financial regulation is the basic requirement for financial stability. Recently, regulatory
technology (Reg-Tech) has become one of the main research topics in financial stability …

This paper studies the problem of default correlation. We first introduce a random variable
called" time-until-default" to denote the survival time of each defaultable entity or financial …

In recent decades, developments in the financial sector have played a major role in shaping
macroeconomic outcomes in a wide range of countries. Financial developments have …

This article presents a general framework for identifying and modeling the joint-tail
distribution based on multivariate extreme value theories. We argue that the multivariate …

We test the doubly stochastic assumption under which firms' default times are correlated
only as implied by the correlation of factors determining their default intensities. Using data …

Engineers and scientists often need to solve complex problems with incomplete information
resources, necessitating a proper treatment of uncertainty and a reliance on expert opinions …

We study the effects of disruption risk in a supply chain where one retailer deals with
competing risky suppliers who may default during their production lead times. The suppliers …

Evaluating default correlations or the probabilities of default by more than one firm is an
important task in credit analysis, derivatives pricing, and risk management. However, default …

This paper presents two new models of portfolio default loss that extend the standard
Gaussian copula model yet preserve tractability and computational efficiency. In one …