Best practice in credit risk modelling and management cobines empirical data, research expertise, and technological capability. In this article, Geoff Fite and Jing Zhang identify and expound on these requirements and illustrate a sample solution that incorporates them
The state of credit risk measurement has been evolving rapidly since the last credit cycle. Best practice in credit risk modelling and management is now, more than ever and irrespective of portfolio size and institution characteristics, dependent upon three critical capabilities: empirical data, research expertise and technological capability. Successful management of credit risk begins with the measurement of individual obligors and instruments, culminating in the analysis of complex portfolios of varied exposures.
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ABSTRACT This paper is concerned with the derivation of a residual-based a posteriori error estimator and mesh-adaptation strategies for the space-time finite element approximation of parabolic problems...
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