Combinations of models produce better NPL estimates in study of Greek crisis
Sponsored webinar: Moody's Analytics and Qlik
Loans with low loss given defaults now considered impaired, lenders complain
Ken Phelan stresses importance of credit risk management in key Treasury role
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Biggest share of bank capital at stake as regulators take aim at credit models
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
EU lenders say both EBA proposals would distort capital requirements
Hedge funds target 10–12% returns on credit risk from unpaid invoices
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Method could provide early-warning system
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
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The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
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A copula-based model for wrong way risk
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The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into...
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk for credit products, even those valued with fast semi-analytical...
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests