The existence of multiple rule books may deter issuers and investors in securitisation
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looki...
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More Credit risk articles
It is a well-known fact that recovery rates tend to decrease when the number of defaults increases during economic downturns. We demonstrate how the loss given default model with the default and recovery...
Models evaluating credit applicants rely on payment performance data, which is only available for accepted applicants. This sampling limitation could lead to biased parameter estimates. We use a nationally...
This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger while keeping the capital structure intact. This produces random recovery...
We look at the problem of pricing contingent convertible bonds (CoCos) where the underlying risky asset dynamics are given by a smile conform model, more precisely, an exponential Lévy process incorporating...
Court will rule on compromise agreement between bankrupt city and swaps counterparties
The Basel approach is criticised as inconsistent, prompting a group of quants to develop an alternative
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
New rules aim to promote the market but banks still prefer the WMP route
Rules would require banks to allocate all securitisation exposure by individual, underlying obligor
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