Electronic portfolios represent an assessment measure with strong potential for providing feedback about student performance to improve curricula and pedagogy, determining individual students’ mastery of learning and providing feedback for improvement, and actively involving students in the assessment process. This study examined the relationship between e-portfolio participation and student su...

Capital allocation for credit portfolios has two meanings. First, at portfolio level it means to determine capital as a buffer against an unexpected negative cash-flow resulting from credit losses. In this case, the allocation method can be specified by means of a risk measure. Its result is called economic capital of the portfolio. Second, at sub-portfolio or transaction level, capital allocat...

This paper utilizes the saddlepoint approximation as an efficient tool to estimate the portfolio credit loss distribution in the Vasicek model. Value-atrisk (VaR), the risk measure chosen in the Basel II Accord for the evaluation of capital requirement, can then be found by inverting the loss distribution. The VaR contribution (VaRC), expected shortfall (ES) and ES contribution (ESC) can all be...

In this note, we show on a stylised example how one can hedge Basket Credit Derivatives using a related family of liquid hedging products. Using simple Non-Arbitrage arguments and results from stochastic calculus, we prove that one can build a self-financing portfolio written on Credit Default Swaps which replicates the payoff of a general Credit Derivative.

A portfolio credit derivative is a contingent claim on the aggregate loss of a portfolio of credit sensitive securities. We develop an economically motivated and computationally tractable top down valuation framework in which portfolio loss follows an affine point process. The magnitude of each loss is random and defaults are governed by an intensity that is driven by affine jump diffusion risk...

Credit contagion refers to the propagation of economic distress from one firm to another. This article proposes a reduced-form model for these contagion phenomena, assuming they are due to the local interaction of firms in a business partner network. We study aggregate credit losses on large portfolios of financial positions contracted with firms subject to credit contagion. In particular, we p...

This paper sets forth a simple method for estimating the credit risk economic capital associated with securitization exposures, which are defined as credit exposures created by repackaging the cash flows from a pool of assets into various tranches or asset-backed securities. Our approach is motivated by the need for an effective and easily implemented regulatory capital rule for securitization ...

1 In the credit risk analysis, the dependence of default times is one of most important issues, for the portfolio credit derivatives as basket default swaps and CDOs, and also for the contagious credit risks. In the literature, the modelling of multi credit names is diversified in various directions such as Markov models ([3, 4]), contagion models ([10]), latent variable models ([8]) and loss p...

A general and efficient method for valuing credit derivatives based on multiple entities is developed in an affine framework. This includes interdependence of market and credit risk, joint credit migration and counterparty default risk of multiple firms. As an application we provide closed form expressions for the joint distribution of default times, default correlations, and default swap sprea...