This paper presents a dynamic portfolio credit model following the regulatory framework,
using macroeconomic and latent risk factors to predict the aggregate loan portfolio loss in a …

This paper suggests a top-down method for aggregating the economic capital of an entire
banking system and decomposing it into loan sectors according to their risk contributions …

We derive and discuss a new analytical credit loss distribution. This new model, T-Vasicek,
is a variant of the well-known and highly useful Vasicek distribution. We inject a t-distribution …

In this paper, we propose a flexible tool to estimate the risk sensitivity of a high-dimensional
portfolio composed of different classes of assets, especially in extreme risk circumstances …

This paper incorporates state dependent correlations (those that vary systematically with the
state of the economy) into the Vasicek default model. Other approaches to randomizing …

This article extends the Vasicek model for the Gaussian single-factor portfolio loss
distribution to a skew-elliptical multifactor model and proposes loss models with more …

Risk-weight function is the most popular formula for banking regulations used to calculate
the amount of backup deposit that banks need to hold in order to bear extraordinary losses …

This study presents an approach to determining the optimal look-back period for adequate
and less procyclical credit capital requirement forecast of US commercial banking system …

Abstract This paper provides Monte Carlo results for the performance of the method of
moments (MM), maximum likelihood (ML) and ordinary least squares (OLS) estimators of the …

The research work of the thesis focuses on two themes: the valuation of initial margin and
model risk quantification. The first theme addresses matters arising from the valuation of …