Determining marginal contributions of the economic capital of credit risk portfolio: an analytical approach

We address the problem of decomposing the risk of a multi-factor credit portfolio into marginal contributions through a fast analytical approach: it is based on Taylor polynomial expansion of the overall risk and on the subsequent partial derivatives with respect to the single exposures, exploiting the Euler principle. The proposed approximation, which also accommodates for an efficient treatment of obligors with similar risk profile, is suitable for large and complex bank portfolios; furthermore, it proves to perform quite well if tested against numerical techniques, among which we chose the Harrel-Davis estimator. The latter, aside from representing a benchmark measure, should however be applied in the case of very small and concentrated portfolios. In addition, a comparison with the most usual variance-covariance approach is drawn, emphasising its drawbacks in the correct representation of risk allocation

Galactic diffusion and the antiprotron signal of supersymmetric dark matter

The leaky box model is now ruled out by measurements of a cosmic ray gradient throughout the galactic disk. It needs to be replaced by a more refined treatment which takes into account the diffusion of cosmic rays in the magnetic fields of the Galaxy. We have estimated the flux of antiprotons on the Earth in the framework of a two-zone diffusion model. Those species are created by the spallation reactions of high-energy nuclei with the interstellar gas. Another potential source of antiprotons is the annihilation of supersymmetric particles in the dark halo that surrounds our Galaxy. In this letter, we investigate both processes. Special emphasis is given to the antiproton signature of supersymmetric dark matter. The corresponding signal exceeds the conventional spallation flux below 300 MeV, a domain that will be thoroughly explored by the Antimatter Spectrometer experiment. The propagation of the antiprotons produced in the remote regions of the halo back to the Earth plays a crucial role. Depending on the energy, the leaky box estimates are wrong by a factor varying from 0.5 up to 3.Comment: 14 pages, LaTeX, 4 postscript figures appended as uuencoded g-zipped tar fil

Materia oscura supersimmetrica

Dottorato di ricerca in fisica. 8. ciclo. A.a. 1993-95. Tutore A. Bottino. Coordinatore E. PredazziConsiglio Nazionale delle Ricerche - Biblioteca Centrale - P.le Aldo Moro, 7, Rome; Biblioteca Nazionale Centrale - P.za Cavalleggeri, 1, Florence / CNR - Consiglio Nazionale delle RichercheSIGLEITItal

Journal of Operational Risk (33–50) Volume 1/Number 2, Summer 2006 Sources of uncertainty in modeling operational risk losses

Operational risk quantification techniques have been rapidly evolving since the first attempts in early 2000, when it appeared clear that this kind of risk would attract a specific capital requirement in the new prudential regulation. The basic component of most models developed by the industry is historical (or scenario) loss data. The modeling techniques used to obtain the risk measures are generally well developed and understood. In this work, assuming a simple but rigorous modeling framework, containing the basic features of the models which are generally observed in the industry, focus will be placed on the uncertainty of the model outputs. The sources of this uncertainty will be analyzed in a systematic way