This report analyzes reduced-form credit risk models, and reviews the three main
approaches to incorporate credit risk correlation among firms within the framework of …

Page 1 Dalgſave macmillan Private Equity Finance Rise and Repercussions Jamie Morgan
Page 2 Private Equity Finance Page 3 This page intentionally left blank Page 4 Private Equity …

Some investors in the Collateralized Debt Obligations (CDOs) market have been publicly
accused of not fully understanding the risks and dynamics of these products. They won't …

In order to address practical questions in credit portfolio management it is necessary to link
the cyclical or systematic components of firm credit risk with the firm's own idiosyncratic …

This book provides a first-hand account of business analytics and its implementation, and an
account of the brief theoretical framework underpinning each component of business …

Enterprise risk management (ERM) is being implemented more frequently by insurance
firms, and regulators and ratings agencies are placing greater emphasis on the …

Using an extensive data set of CDS spreads on eminent US firms, we investigate the
correlation structure of the CDS market. For comparative purposes, we also examine the …

A simple graphical model for correlated defaults is proposed, with explicit formulas for the
loss distribution. Algebraic geometry techniques are employed to show that this model is …

Prior research on line of business concentration has employed a number of measures,
including the often used Hirschman-Herfindahl Index (HHI), which typically does not account …

Studies about credit spread switching regimes typically make assumptions about the
number of regimes for in&sample regime detection. This is because exploratory regime …