Baseline Capital Limited has announced completion of the development stage of its Basel II data pool solution.The company, launched in 2003, develops Basel II solutions for the UK financial services industry. It provides the only pooled end-to-end credit risk solution, which supplies practical compliance for mortgage lenders. Baseline also offers data exchange, benchmarking, management information and key performance indicator data.
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This issue of The Journal of Risk Model Validation commences with a paper by Pilar Abad, Sonia Benito Muela and Carmen López Martín entitled "The role of the loss function in value-at-risk comparisons",...
ABSTRACT We demonstrate how introducing economic variables into a credit scorecard improves the predictive power of that scorecard. Such a scorecard can forecast default rates accurately, even when economic...
ABSTRACT In this paper, we discuss the evolution of the financial economic events that preceded the triggering of the subprime crisis. This crisis shares similarities with episodes that occurred in the...
ABSTRACT This paper examines whether the comparison of value-at-risk (VaR) models depends on the loss function used for such a purpose.We showa detailed comparison for several VaR models for two groups...
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