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
More Credit risk articles
Rules would require banks to allocate all securitisation exposure by individual, underlying obligor
This paper analytically evaluates the expected loss and the nth moment of the loss distribution for a collateralized loan by focusing on the negative correlation between default intensity and collateral...
Although the literature about measuring probability of default (PD) in retail credit portfolios is vast, the same thing cannot be said about measuring exposure at default (EAD). This paper aims to contribute...
We propose a novel approach for the computation of the probability distribution of a counting variable linked to a particular kind of hierarchical multivariate copula function called a clusterized homogeneous...
When estimating loss given default (LGD) parameters using a workout approach, ie, discounting cashflows over the workout period, the problem arises of how to take into account partial recoveries from incomplete...
Inconsistent rules are damaging financial intermediation, says senior Japanese banker
Dealers push for a more risk-sensitive model, but regulators may opt to incorporate a new non-internal modelled approach into the existing hypothetical capital method
US clearing rules do not exempt SPVs, but industry is split on whether other exemptions - for unclearable swaps - would apply
Industry group will launch a best practice document confirming that negative interest rates apply under CSA
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