John A Morrison's Page

ABSTRACT

This paper analyzes the current practices adopted by a sample of Luxembourg banks on liquidity stress testing and contingency funding plans. The paper covers four main topics: liquidity stress testing coverage, scenario design, policy issues and contingency funding plans. We compare, when relevant, these results to a larger sample of EU peer banks. The results, collected through a questionnaire addressed to forty-seven banking groups, are analyzed by the means

by Laurent Devineau & Stéphane Loisel

SAF - Laboratoire de Sciences Actuarielle et Financière - Université Claude Bernard - Lyon

ABSTRACT

Two approaches may be considered in order to determine the Solvency II economic capital: the use of a standard formula or the use of an internal model (global or partial). However, the results produced by these two methods are rarely similar, since the underlying hypothesis of marginal capital aggregation is not veri

Palombini, Edgardo (2009): Factor models and the credit risk of a loan portfolio. Unpublished.

Abstract

Factor models for portfolio credit risk assume that defaults are independent conditional on a small number of systematic factors. This paper shows that the conditional independence assumption may be violated in one-factor models with constant default thresholds, as condit

AUTHORS

Wagner Piazza Gaglianone

Luiz Renato Lima

Oliver Linton

Daniel Smith

ABSTRACT

This paper is concerned with evaluating value at risk estimates. It is well known that using only binary variables, such as whether or not there was an exception, sacrifices too much information. However, most of the specification tests (also called backtests) available