The recent financial crisis has shown the relevance of macroeconomic factors for forecasting
and stress testing credit portfolio models. Despite this, most banks still work with a through-…

The expected boom in wireless networking and the rapidly increasing number of private
and public access points prepare the ground for additional - initially unintended - usage …

The classical way of treating the correlation smile phenomenon with credit index tranches is
to choose a sufficiently flexible model and fit it to tranche market prices. In this article we go …

Analyses regarding the responsibility of risk management for the current credit crises have
found a lack of stress tests as one important issue. In this article, we argue that stress tests are …

… ‡Kilian Plank is a research assistant and lecturer at the University of Regensburg (chair of
… Kilian has several years of work experience in the banking industry and is still engaged in …

Berkowitz (2001) suggested a powerful and popular density test based on a probability
integral transformation (PIT). For the PIT to work properly the original distribution needs to be …

This chapter provides a simple model with a small number of parameters and a high degree
of analytical tractability for a general option‐based pricing of credits derivatives. It focuses …

For several years a steady accelerating convergence of telecommunications, IT, media, and
entertainment (TIME) industries is to be observed. This evolution is more than evident in …

KILIAN PLANK … KILIAN PLANK is an assistant professor of the Faculty oansiness and
Economics at the University of Regensburg. Germany. … KILIAN PLANK …

The last credit and financial crisis has rendered credit risk stress tests a major risk management
topic for financial authorities and banks. However, implementing a reasonable stress test …