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An Application of Extreme Value Theory for Measuring Financial Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Assessing the probability of rare and extreme events is an important issue in the risk management of nancial portfolios. Extreme …

A Framework for Risk Management of Extreme Events: Evidence from Firms Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Catastrophic Risk Management (CRM) in a New Era of Catastrophes Framework for Analyzing Firm Behavior with Respect to …

Quantifying flood risk of extreme events using density forecasts based on a new digital archive and weather ensemble predictions Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Non-coastal flood events in the UK are usually associated with extreme …

Explaining extreme events of 2013 from a climate perspective Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Attribution of extreme events is a challenging science and one that is currently undergoing considerable evolution. In this paper, 20 …

Assessing concentration risk in individual countries Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Single-country exchange-traded funds (ETFs) and mutual funds allow investors to make tactical or long-term strategic investments in individual …

Concentration RiskWhere we are Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Diversification: what is it worth? Loss Distribution- Based Risk Measures. Economic Capital Concentration Risk. Main current Approaches Basel Approach to Concentration …

Measuring the Risk Concentration of Investment Portfolios Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 The Gini coefficient, based on the famous Lorenz curve of inequalities, is one of the most widely used measures of concentration Risk …

Understanding the Effect of Concentration Risk in the Banks Credit Portfolio: Indian Cases Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Credit Concentration Risk has been the specific cause of many occurrences of financial distress of banks …

Efficient Concentration Risk Measurement in Credit Portfolios with Haar Wavelets Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 1 Portfolio Credit Risk Modeling 2 Haar Wavelets Method for the Laplace Transform Inversion 3 The WA Method to Quantify …

Supervisory Letter - Concentration Risk Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 Concentration risk has increased in importance during the recent economic recession. Poor risk management of residential and commercial mortgage loan …

Measuring Concentration Risk in Bank Credit Portfolios using Granularity Adjustment: Practical Aspects Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 The paper analyses the practical aspects of granularity adjustment for quantification of the …

Concentration risk and the optimal numberof central counterparties for a single asset Submitted by TheSecretariat on Wed, 29/07/2015 - 13:30 We model the central counterparty (CCP) clearing of a single asset traded over-the-counter by two groups of banks …