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The online Certificate in Quantitative Finance program provides risk professionals with quant finance tools applicable to their roles, and now offers risk management electives. Download the CQF brochure.
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Using a unique data set pooled from multiple US financial institutions, we empirically study the credit line usage of middle-market corporate borrowers. We find that defaulted borrowers draw down more...
Backtesting counterparty credit risk (CCR) models is anything but simple. Such backtesting is becoming increasingly important in the financial industry since both the CCR capital charge and credit valuation...
Using actual default events for all listed firms of thirty economies over the period 2000 Q1 to 2011 Q2 and the technique of particle filtering and smoothing with the Markov chain Monte Carlo, we find...
In the credit decision-making process, both an applicant's creditworthiness and their affordability should be assessed. While credit scoring focuses on creditworthiness, affordability is often checked...
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.