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SESSION IV-2 : RISK MANAGEMENT (20/12/2007 à 16h00)

François Quittard-Pinon (Université de Lyon 1)

Comparison Results for Credit Risk Portfolios

Auteurs : COUSIN Areski and LAURENT Jean-Paul (Isfa - Lyon 1 University) Email :

Intervenants : COUSIN Areski (Isfa – Claude Bernard Lyon 1 University)

Commentateurs : ELKAMHI Redouane (Mcgill University)

This paper is dedicated to the risk analysis of credit portfolios. Assuming that default
indicators form an exchangeable sequence of Bernoulli random variables and as a
consequence of de Finetti’s theorem, default indicators are Binomial mixtures. We can
characterize the supermodular order between two exchangeable Bernoulli random
vectors in terms of the convex ordering of their corresponding mixture distributions.
Thus we can proceed to some comparisons between stoploss premiums, CDO tranche
premiums and convex risk measures on aggregate losses. This methodology provides a
unified analysis of dependence for a number of CDO pricing models based on factor
copulas, multivariate Poisson and structural approaches.

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Time Varying Default Risk Premia in Corporate Bond Markets

Auteurs : ELKAMHI Redouane and ERICSSON Jan (Mcgill University) Email :

Intervenants : ELKAMHI Redouane (Mcgill University)

Commentateurs : JEANNERET Alexandre (Swiss Finance Institute - University of Lausanne)

We develop a methodology to study the linkages between equity and corporate bond risk
premia and apply it to a large panel of corporate bond transaction data. We and that a
significant part of the time variation in bond default risk premia can be explained by
equity implied bond risk premium estimates. We compute these estimates using a recent
structural credit risk model. In addition, we show by means of linear regressions that
augmenting the set of variables predicted by typical structural models with equity-implied
bond default risk premia significantly increases explanatory power. This in turn suggests
that time varying risk premia are a desirable feature for future structural models.

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Admissible Designs of Debt-Equity Swaps for Distressed Firms: Analysis, Limits and Applications

Auteurs : MORAUX Franck & NAVATTE Patrick (University of Rennes 1) Email :

Intervenants : MORAUX Franck (University of Rennes 1)

Commentateurs : COUSIN Areski (Isfa – Claude Bernard Lyon 1 University)

This paper reconsiders the design of debt-equity swaps that are common tools to financially
restructure distressed firms. While an ad hoc approach consists in characterizing a set of
three parameters, we demonstrate that a system of two equations defines admissible designs.
Hence, assuming that creditors do not want to bankrupt the firm nor they want to evict
completely current equity holders, we solve the debt holders’ design problem. We then
undertake an in-depth analysis of corresponding solutions and we show that debt-equity
swaps can significantly increase the probability of being reimbursed of the remaining due
payment in the next future.

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The Level and Quality of Value-at-Risk Disclosure by Commercial Banks

Auteurs : PERIGNON Christophe (Hec Paris) and SMITH Daniel (Simon Fraser University) Email :

Intervenants : PERIGNON Christophe (Hec Paris)

Commentateurs : DOFFOU Ako (Sacred Heart University)

In this paper we study (1) the level of Value-at-Risk (VaR) disclosure and (2) the accuracy
of the disclosed VaR figures for a sample of US and international commercial banks. To
measure the level of VaR disclosures, we develop a VaR disclosure index that captures
many different facets of market risk disclosure. Using panel data over the period 1996- 2005,
we find large differences in the level of disclosure between US commercial banks and an
overall upward trend in the quantity of information released to the public. Our cross-sectional
analysis of the largest banks in the world indicates that US disclosures are below average.
We also find that Historical Simulation is by far the most popular VaR method. We assess
the accuracy of the disclosed VaR figures by studying whether actual daily VaRs contain
information about the volatility of subsequent trading revenues. We find that VaR computed
using Historical Simulation contains very little information about the future volatility of trading
revenues and that a simple GARCH model often dominates bank proprietary VaR models.
We show that this finding is a natural consequence of the growing popularity of the Historical
Simulation method among banks.

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