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
Regulators could cap the maturity banks assume for large chunks of their deposit base
Three easy-to-implement methods for back-testing expected shortfall
Welcome to The Journal of Network Theory in Finance's Online First Forum. Here you will find the latest peer reviewed, accepted papers before they are available in print. With Online First publication,...
Sign up for Risk.net email alerts
Nominated for two technology awards
Nominated for post trade technology award
Sponsored webinar: Collateral and counterparty tracking
There are no comments submitted yet. Do you have an interesting opinion? Then be the first to post a comment.