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Fund says securitisation practices should be tightened while spurring demand
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously
Risk Awards 2015: French bank shared trade finance exposure with World Bank
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
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CCP exposures not in scope of new regime, but clearing members are
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...
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.