German CCP cites cross-product efficiency as chief advantage
Operational risk loss data – March 2014
This webinar looks at the current state of enterprise stress testing and unveils findings of a new study on Enterprise-level Stress Testing (one of several research papers in Chartis' The Risk Enabled Enterprise ® research program)
More Risk management articles
Future crisis could see non-cleared swap margin double, says Goldman exec
Fed proposal is driving banks out of physical markets
Capital charges will be ‘very difficult to explain’, conference hears
Rise of standardised approach would be 'a loss for the banking industry'
Op risk disconnect from business, conference hears
Internal fraud and data theft threats growing, conference hears
Banks must involve op risk in strategy decisions, says RBS' Spielmann
Common tree-splitting strategies involve minimizing a criterion function for minimum impurity (ie, difference) within child nodes. In this paper, we propose an approach based on maximizing a discriminatory...
The Basel Accords require financial institutions to regularly validate their loss given default (LGD) models. This is crucial so banks are not misestimating the minimum required capital to protect them...
In consumer credit scoring, the area under the receiver operating characteristic curve (AUC) is one of the most commonly used measures for evaluating predictive performance. In our analysis, we aim to...
Both probability of default (PD) and loss given default (LGD) constitute relevant input parameters for credit risk management in pillars I and II. Assuming that both default data and loss data have been...
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...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.