Wilmott Inner Circle
Analytical Techniques for Synthetic CDOs and Credit Default Risk Measures in Static Factor Models
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Credit
Wilmott Inner Circle
Unstable Credit Correlations
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Articles
Product Risk Classification
What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]
Wilmott Inner Circle
A Mean-Square Approach To Constant Proportion Debt Obligations: Wilmott Magazine Article – A. I. Cekic, Ralf Korn, and Omur Ugur
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Wilmott Inner Circle
Callable Loan Credit Protection: Wilmott Magazine Article – Alain Verberkmoes and Anna Shepeleva
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Wilmott Inner Circle
Robust and Stable Capital Allocation: Wilmott Magazine Article – Bernd Appasamy, Anne Kleppe, Christian Oehler
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A Structural Model for Credit-Equity Derivatives and Bespoke CDOs: Wilmott Magazine Article – Claudio Albanese & Alicia Vidler
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Wilmott Inner Circle
Extended CreditGrades Model with Stochastic Volatility and Jumps: Wilmott Magazine Article – Artur Sepp
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