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Vanini, Paolo’ AUTHOR PAGE
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E-Mail: vanini@isb.unizh.ch
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webpage: http://www.isb.unizh.ch/institut/staff/vanini.paolo/publications/?PHPSESSID=ae67f580a37383cabb5cd848abae967f
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Affiliation: University of Zurich
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Credit Migration Risk Modelling 2009
Vanini, Paolo
Andersson, Andreas
 
We consider the modelling of credit migration risk and the pricing of migration derivatives. To construct a Point-in-Time (PIT) rating migration matri...
Loan Pricing: Thinking Collateral 2007
Akgün, Aydin
Vanini, Paolo
 
We introduce a framework that analyzes the impact of collateral on loan pricing. That for, we decompose any secured loan in a linear combination of ...
Property Derivatives and Index-Linked Mortgages 2006
Syz, Juerg
Vanini, Paolo
Salvi, Marco
 
Economists have forcefully argued for the introduction and use of property derivatives as a hedge against house price risk (e.g. Shiller and Weiss, 19...
Joint Interest Rate Risk Management of Balance Sheet and Hedge Portfolio 2006
Farinelli, Simone
Vanini, Paolo
 
We present a multi-period mean-variance optimization program which allows for a joint optimization of the balance and off-balance sheet. We first prov...
Aligning Capital to Risk 2005
Vanini, Paolo
Domenig, Thomas
Ebnoether, Silvan
 
This presentation will define a capital calculation and allocation approachwhich is based on risk sensitive measurements for the main risk factorsmark...
Credit Portfolios: What Defines Risk Horizons and Risk Measurement? 2005
Ebnoether, Silvan
Vanini, Paolo
 
Economic cycles are the key credit portfolio risk factor and this factor showsstrong autocorrelation over time. This leads us to define risk for credi...
Operational Risk (Vanini) 2004
Vanini, Paolo
 
We discuss in this short paper some basic differences between a business drivenapproach to operational risk and the regulatory one. We indicate why th...
A Simple Model of Credit Contagion 2004
Egloff, Daniel
Leippold, Markus
Vanini, Paolo
 
We propose a simple and implementable model of credit contagion where we in- clude macro- and microstructural dependencies among the debtors within a ...
The Quantification of Operational Risk 2003
Leippold, Markus
Vanini, Paolo
 
We examine the quantification of operational risk for banks. We adopt a financial economics approach and interpret operational risk management as a me...
From Operational Risk to Operational Excellence 2003
Dobeli, Barbara
Leippold, Markus
Vanini, Paolo
 
In this paper operational risk is considered from a purely business or profitability point of view. We show for quantifiable operational risk that the...
Operational Risk: A Practitioners View 2002
Ebnoether, Silvan
Vanini, Paolo
McNeil, Alexander
Antolinez-Fehr, Pierre
 
The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operationa...
Half as Many Cheers - The Multiplier Reviewed 2003
Leippold, Markus
Vanini, Paolo
 
The financial industry puts the Basle Committee under strain to align regulatory capital with economic capital. This could be reached by allowing mor...
Equilibrium Impact of Value-at-Risk 2003
Leippold, Markus
Trojani, Fabio
Vanini, Paolo
 
We study in a general perspective the partial equilibrium incentives and the general equilibrium asset pricing implications of Value-at-Risk (VaR) reg...
Modelling Operational Risk 2001
Ebnoether, Silvan
Vanini, Paolo
McNeil, Alexander
Antolinez-Fehr, Pierre
 
The Basel Committee on Banking Supervision ("the Committee") released a consultative document that included a regulatory capital charge for operationa...
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