Ken Phelan stresses importance of credit risk management in key Treasury role
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
Sponsored Q&A: UBS
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
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
Method could provide early-warning system
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
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
A copula-based model for wrong way risk
A new product could smoothe the gap between capital and accounting rules
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
By: Giovanni Cesari, Zlatko Filipovic, Gordon Lee
By: Greg Hopper
By: David Goulding