Scrapping op risk modelling in Europe could take five years, say lawyers
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This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
This paper analyzes asset rankings derived from state-of-the-art POT approaches to estimate VaR.
This paper puts forward two strategies for improving Historical Simulation in weak areas.
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.