3 papers
q-fin.RM2026
Modeling dependency between operational risk losses and macroeconomic variables using Hidden Markov Models
Nikeethan Selvaratnam, Dorinel Bastide, Clément Fernandes +1
Predicting future operational risk losses gives rise to a significant challenge due to the heterogeneous and time-dependent structures present in real-world data. Furthermore, stre…
q-fin.RM2024
Provisions and Economic Capital for Credit Losses
Dorinel Bastide, Stéphane Crépey
Based on supermodularity ordering properties, we show that convex risk measures of credit losses are nondecreasing w.r.t. credit-credit and, in a wrong-way risk setup, credit-marke…
q-fin.RM2024
Resolving a Clearing Member's Default, A Radner Equilibrium Approach
Dorinel Bastide, Stéphane Crépey, Samuel Drapeau +1
For vanilla derivatives that constitute the bulk of investment banks' hedging portfolios, central clearing through central counterparties (CCPs) has become hegemonic. A key mandate…