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.
More on Risk Management
CCPs shouldn't fight calls for extra capital, says Sprecher
Risk's annual round-up of new software developments
Sponsored Q&A: LCH Clearnet
How much margin is missing in sovereign swaps? The stress test had the answer
Sign up for Risk.net email alerts
Sponsored video: Tradeweb
Multifonds talks to Custody Risk on being nominated for the Post-Trade Technology Vendor of the Year at the Custody Risk Awards 2014
Sponsored webinar: IBM Risk Analytics
Nominated for two technology awards
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.