This paper studies game-type credit default swaps that allow the protection buyer and seller to raise or reduce their respective positions once prior to default. This leads to the study of an optimal stopping game subject to early default termination. Under a structural credit risk model based on spectrally negative Lévy processes, we apply the principles of smooth and continuous fit to identif...

New risk-based solvency requirements for insurance companies across European markets have been introduced by Solvency II and will come in force from 1 January 2016. These requirements, derived by a Standard Formula or an Internal Model, will be by far more risk-sensitive than the required solvency margin provided by the current legislation. In this regard, a Partial Internal Model for Premium R...

This paper studies survival measures in credit risk models. Survival measure, which was first introduced by Schönbucher [12] in the framework of defaultable LMM, has the advantage of eliminating default indicator variable directly from the expectation by absorbing it into Randon-Nikodym density process. Survival measure approach was further extended by Collin-Duresne [4] to avoid calculating a ...

This paper presents an approach to conduct risk assessments of complex incentive systems, using a case study of the normative Peer Review Process (PRP). This research centers on appliances and adaptations of the Conflicting Incentives Risk Analysis (CIRA). First as an approach to Root Cause Analysis of a known incident, and then for a full assessment of the incentives in the PRP together with p...

After the grounding of the Exxon Valdez and its subsequent oil spill, all parties with interests in Prince William Sound (PWS) were eager to prevent another major pollution event. While they implemented several measures to reduce the risk of an oil spill, the stakeholders disagreed about the effectiveness of these measures and the potential effectiveness of further proposed measures. They forme...

This paper compares two common risk-modeling approaches and then uses them to analyze the risk of incorporating solar photovoltaic (PV) systems into a commercial electric power grid. It uses procedures from both approaches such as Hierarchical Holographic Models, frequency and severity normalization, and avoiding numerical skewing by rare but serious events: It describes the benefits and limita...

financial statement of a company is a reflection of the operational and financial position of a company. the comparative analysis of two companies similar in nature, size, work, location and objectives etc., facilitates an understanding of the operational and financial soundness of the companies. the kingdom of saudi arabia is aiming for rapid industrialization in its economy. sahara petrochemi...

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We examine the correlation in credit risk using credit default swap (CDS) data. We find that the observable risk factors at the firm, industry, and market levels and the macroeconomic variables cannot fully explain the correlation in CDS spread changes, leaving at least 30 percent of the correlation unaccounted for. This finding suggests that contagion is not only statistically but also economi...

In general, conglomeration leads to a diversification of risks (the diversification benefit) and to a decrease in shareholder value (the conglomerate discount). Diversification benefits in financial conglomerates are typically derived without accounting for reduced shareholder value, even though a comprehensive analysis requires competitive conditions within the conglomerate, i.e., shareholders...