9 papers
Credit Portfolio Management in a Turning Rates Environment
Arthur M. Berd, Elena Ranguelova, Antonio Baldaque da Silva
We give a detailed account of correlations between credit sector/quality and treasury curve factors, using the robust framework of the Barclays POINT Global Risk Model. Consistent…
The Nature of Alpha
Arthur M. Berd
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…
The Underlying Dynamics of Credit Correlations
Arthur M. Berd, Robert F. Engle, Artem Voronov
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…
Recovery Swaps
Arthur M. Berd
We derive an arbitrage free relationship between recovery swap rates, digital default swap spreads and conventional CDS spreads, and argue that the fair forward recovery rate used…
A Guide to Modeling Credit Term Structures
Arthur M. Berd
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 equivalent…
Dynamic Estimation of Credit Rating Transition Probabilities
Arthur M. Berd
We present a continuous-time maximum likelihood estimation methodology for credit rating transition probabilities, taking into account the presence of censored data. We perform rol…