Knowledge Base Articles
Implications of a joint modelling framework in dependence modelling
In this part we evaluate the framework by performing simulations and discuss the implications of utilizing a dependence model like this.
A Joint Framework for Dependence Modeling
In this article we seek to develop a model allowing for dependence between equity and credit risk.
An Introduction to Dependence Modeling
Part I of III describing a framework for analysing dependency between equity and credit risk.
Mitigating Risk: A Joint Model for High-Yield and Investment-Grade Credit Indices
Today, there are many flawed corporate bond pricing models. However, there is also a novel credit-spread approach that can simulate index prices and accurately capture probability of default, enabling better risk management and regulatory compliance.
Solvency II market risk - 3 documents to read
If you need to quickly gain an understanding of the capital requirement for market risk under Solvency II, look no further. These are the three documents you need to read.