Fixing Underexposed Snapshots -- Proper Computation of Credit Exposures Under the Real World and Risk Neutral Measures

2013 ◽  
Author(s):  
Harvey J. Stein
Keyword(s):  
Real World ◽  
The Real ◽  
Risk Neutral ◽  
Risk Neutral Measures

scholarly journals A NOTE ON REAL-WORLD AND RISK-NEUTRAL DYNAMICS FOR HEATH–JARROW–MORTON FRAMEWORKS

2020 ◽  
Vol 23 (03) ◽  
pp. 2050020
Author(s):  
DAVID CRIENS
Keyword(s):  
Brownian Motion ◽  
Real World ◽  
Random Measure ◽  
Jump Condition ◽  
Poisson Random Measure ◽  
Change Of Measure ◽  
The Real ◽  
Infinite Dimensional ◽  
Risk Neutral ◽  
Equivalent Change Of Measure

We show that for time-inhomogeneous Markovian Heath–Jarrow–Morton models driven by an infinite-dimensional Brownian motion and a Poisson random measure an equivalent change of measure exists whenever the real-world and the risk-neutral dynamics can be defined uniquely and are related via a drift and a jump condition.

FIXING RISK NEUTRAL RISK MEASURES

2016 ◽  
Vol 19 (03) ◽  
pp. 1650021 ◽  
Author(s):  
HARVEY J. STEIN
Keyword(s):  
Risk Management ◽  
Real World ◽  
Risk Measures ◽  
Management Practice ◽  
Regulatory Capital ◽  
Change Of Measure ◽  
The Real ◽  
Alternative Approach ◽  
Risk Neutral ◽  
Credit Valuation Adjustment

In line with regulations and common risk management practice, the credit risk of a portfolio is managed via its potential future exposures (PFEs), expected exposures (EEs), and related measures, the expected positive exposure (EPE), effective expected exposure (EEE), and the effective expected positive exposure (EEPE). Notably, firms use these exposures to set economic and regulatory capital levels. Their values have a big impact on the capital that firms need to hold to manage their risks. Due to the growth of credit valuation adjustment (CVA) computations, and the similarity of CVA computations to exposure computations, firms find it expedient to compute these exposures under the risk neutral measure. Here, we show that exposures computed under the risk neutral measure are essentially arbitrary. They depend on the choice of numéraire, and can be manipulated by choosing a different numéraire. The numéraire can even be chosen in such a way as to pass backtests. Even when restricting attention to commonly used numéraires, exposures can vary by a factor of two or more. As such, it is critical that these calculations be carried out under the real world measure, not the risk neutral measure. To help rectify the situation, we show how to exploit measure changes to efficiently compute real world exposures in a risk neutral framework, even when there is no change of measure from the risk neutral measure to the real world measure. We also develop a canonical risk neutral measure that can be used as an alternative approach to risk calculations.

Current Issues: Evidence-Based Practice for the Real World: Thoughts on Clinical Education in Communication Disorders

2010 ◽  
Vol 20 (3) ◽  
pp. 100-105 ◽  
Author(s):  
Anne K. Bothe
Keyword(s):  
Clinical Education ◽  
Real World ◽  
Evidence Based Practice ◽  
Communication Disorders ◽  
University Faculty ◽  
Evidence Based ◽  
Speech Language Pathology ◽  
Basic Principles ◽  
The Real ◽  
Language Pathology

This article presents some streamlined and intentionally oversimplified ideas about educating future communication disorders professionals to use some of the most basic principles of evidence-based practice. Working from a popular five-step approach, modifications are suggested that may make the ideas more accessible, and therefore more useful, for university faculty, other supervisors, and future professionals in speech-language pathology, audiology, and related fields.

The Real-World Fellowship

2006 ◽  
Vol 40 (7) ◽  
pp. 47
Author(s):  
LEE SAVIO BEERS
Keyword(s):  
Real World ◽  
The Real

Contracts in the Real World

2016 ◽  
Author(s):  
Lawrence A. Cunningham
Keyword(s):  
Real World ◽  
The Real
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