The underlying dynamics of credit correlations
AM Berd, RF Engle, A Voronov - arXiv preprint arXiv:1001.0786, 2010 - arxiv.org
We propose a hybrid model of portfolio credit risk where the dynamics of the underlying
latent variables is governed by a one factor GARCH process. The distinctive feature of such …
latent variables is governed by a one factor GARCH process. The distinctive feature of such …
Recovery swaps
AM Berd - Available at SSRN 647122, 2004 - papers.ssrn.com
… Berd Senior Vice President Lehman Brothers 212-526-2629 arthur.berd@lehman.com …
The convexity premium for the recovery swap rate is intimately related with the DDS digital …
The convexity premium for the recovery swap rate is intimately related with the DDS digital …
Dynamic estimation of credit rating transition probabilities
AM Berd - arXiv preprint arXiv:0912.4621, 2009 - arxiv.org
We present a continuous-time maximum likelihood estimation methodology for credit rating
transition probabilities, taking into account the presence of censored data. We perform rolling …
transition probabilities, taking into account the presence of censored data. We perform rolling …
A guide to modeling credit term structures
AM Berd - arXiv preprint arXiv:0912.4623, 2009 - arxiv.org
We give a comprehensive review of credit term structure modeling methodologies. The
conventional approach to modeling credit term structure is summarized and shown to be …
conventional approach to modeling credit term structure is summarized and shown to be …
Digital premium
AM Berd, V Kapoor - Journal of Derivatives, 2003 - papers.ssrn.com
Digital default swaps are different from conventional (floating recovery) swaps because they
transfer different types of risk. Conventional swaps transfer default loss risk, while digitals …
transfer different types of risk. Conventional swaps transfer default loss risk, while digitals …
Defining, estimating and using credit term structures. Part 1: Consistent valuation measures
AM Berd, R Mashal, P Wang - arXiv preprint arXiv:0912.4609, 2009 - arxiv.org
In this three-part series of papers, we argue that the conventional spread measures are not
well defined for credit-risky bonds and introduce a set of credit term structures which correct …
well defined for credit-risky bonds and introduce a set of credit term structures which correct …
The Nature of Alpha
AM Berd - arXiv preprint arXiv:1112.1114, 2011 - arxiv.org
We suggest an empirical model of investment strategy returns which elucidates the importance
of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in …
of non-Gaussian features, such as time-varying volatility, asymmetry and fat tails, in …
Credit Portfolio Management in a Turning Rates Environment
AM Berd, E Ranguelova, A Silva - Available at SSRN 2364005, 2013 - papers.ssrn.com
We give a detailed account of correlations between credit sector/quality and treasury curve
factors, using the robust framework of the Barclays POINTŪ Global Risk Model. Consistent …
factors, using the robust framework of the Barclays POINTŪ Global Risk Model. Consistent …
[PDF][PDF] Credit Portfolio Management in a Turning Rates Environment
E Ranguelova, AM Berd - 2013 - investmentfundlawblog.com
This paper analyzes correlations between credit spreads and interest rates across various
sectors and credit ratings in the US. Our work was prompted by chairman Bernanke’s …
sectors and credit ratings in the US. Our work was prompted by chairman Bernanke’s …
Risk Decomposition Analysis
AM Berd - Available at SSRN 4497727, 2003 - papers.ssrn.com
Risk Decomposition Analysis Page 1 Berd | Risk Decomposition Analysis Nov 2003 1 Risk
Decomposition Analysis We define a consistent methodology for risk decomposition analysis …
Decomposition Analysis We define a consistent methodology for risk decomposition analysis …