Credit risk
Swedish banks braced for home loan capital hike
Swedish regulators believe risk weights for mortgages at the country’s big four lenders are too low, and are due to announce a mechanical fix – possibly a combination of floors and multipliers. Banks...
The Dodd-Frank Act’s new reporting regime could come into force in September, but key elements of the rules are still missing. While dealers try to fill in the gaps, they are also having to prepare for...
Regulators are attempting to narrow the gap between regulatory capital formulas and banks’ internal models – but recent work in the area of the controversial credit value adjustment demonstrates just...
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How banks needs to consider their IT infrastructure
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More Credit risk articles
Cutting CVA's complexity
Calculating credit value adjustments can be very numerically intensive, often involving nested Monte Carlo simulations. Pierre Henry-Labordère uses marked branching diffusions to construct an efficient algorithm based on a Galton-Watson random tree,...
Impact of factor models on portfolio risk measures: a structural approach...
This paper analyzes the impact of several popular factor models on the calculation of value-at-risk (VaR) for the loss of a credit portfolio with many obligors. The study covers linear and nonlinear factor models focusing on the importance of tail dependence....
Two models of stochastic loss given default
We propose two structural models for stochastic loss given default that allow the credit losses of a portfolio of defaultable financial instruments to be modeled. The credit losses are integrated into a structural model of default events accounting for...
Double-exponential jump-diffusion processes: a structural model of an...
We extend the framework of Leland, who proposed a structural model of rollover debt structure in a Black-Scholes framework.We apply this to the case of a doubleexponential jump-diffusion process, considering a trade-off model with firm risk, risk-free...
Modeling exposure at default and loss given default: empirical approaches...
The Basel Accords have created the need to develop and implement models for probability of default (PD), loss given default (LGD) and exposure at default (EAD). Although PD is quite well researched, LGD and EAD lag behind in terms of both theoretical...
Volume 8/Number 2, Summer 2012
Ashish Dev JPMorgan Chase, New York In this issue of The Journal of Credit Risk we present two full-length research papers and two technical reports. The first paper, "Two models of stochastic loss given default", is by Simone Farinelli and Mykhaylo...
Risk Japan: Bank of Japan concerned about wrong-way risk on banks’ cross...
Helping banks by purchasing stock will create moral hazard, says Bank of Japan director-general
Using market and credit risk analytics to strengthen performance
How are banks improving their risk management techniques?
This handy guide reviews the various steps banks are taking to improve their risk management techniques, looking at the benefits and pitfalls of each one.
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Using market and credit risk analytics to strengthen performance
This white paper reviews the various steps banks are taking to improve their risk management techniques.
How financial services need to consider their IT infrastructure
The global credit crisis exposed the weaknesses inherent in the risk management and IT infrastructures employed by banks.
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