Andrew Chernih

affiliation not provided to SSRN

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  • affiliation not provided to SSRN

SCHOLARLY PAPERS

4

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1,698

SSRN CITATIONS

10

CROSSREF CITATIONS

6

Scholarly Papers (4)

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1.

Reconciling Credit Correlations

Journal of Risk Model Validation, Vol. 4, No. 2, Summer 2010
Number of pages: 22 Posted: 09 Nov 2007 Last Revised: 17 Sep 2012
Andrew Chernih, Luc Henrard and Steven Vanduffel
affiliation not provided to SSRN, BNP Paribas and Vrije Universiteit Brussel (VUB)
Downloads 656 (78,299)
Citation 6

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Solvency II, Basel II, KMV, MKMV, Asset Correlation, Credit Risk, Economic Capital, VaR

2.

Beyond Correlations: The Use and Abuse of Copulas in Economic Capital Calculations

Belgian Actuarial Bulletin, Vol. 7, No. 1, 2007
Number of pages: 5 Posted: 17 Mar 2009
Andrew Chernih, Mateusz Maj and Steven Vanduffel
affiliation not provided to SSRN, Vrije Universiteit Brussel (VUB) - Faculty of Economic, Social and Political Sciences and Vrije Universiteit Brussel (VUB)
Downloads 471 (118,050)

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Copula, Economic Capital, Basel II, Solvency II, Correlations, Value-at-Risk

3.

Stress-Testing the Impact of Group Dependence on Credit Portfolio Risk

STRESS-TESTING FOR FINANCIAL INSTITUTIONS, Harald Scheule, Daniel Rösch, eds., Incisive Media, 2009
Number of pages: 19 Posted: 15 Mar 2009
Steven Vanduffel, Bostjan Aver, Andrew Chernih, Luc Henrard and Carmen Ribas
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN, BNP Paribas and University of Barcelona - Department of Actuarial, Financial and Economic Mathematics
Downloads 318 (183,511)

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Dependence, correlations, credit risk, contagion, group risk, Panjer's recursion

4.

A Note on the Suboptimality of Path-Dependent Pay-Offs in Levy Markets

Final version in Applied Mathematical Finance, Vol. 16, No. 4, pp 315-330
Number of pages: 17 Posted: 30 Oct 2007 Last Revised: 14 Feb 2012
Steven Vanduffel, Andrew Chernih, Mateusz Maj and Wim Schoutens
Vrije Universiteit Brussel (VUB), affiliation not provided to SSRN, affiliation not provided to SSRN and KU Leuven - Department of Mathematics
Downloads 253 (232,122)
Citation 1

Abstract:

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Financial Structured Product, CPPI, Asian Option, Optimal investment, Mean Variance, Markowitz, Lévy Process, Exponential tilting, CAPM, Esscher transform