We describe a method, based on the Merton model, to improve credit portfolio models by adding to the underlying distributions forward-looking tails deducted through the Bayesian networks technology. Given...
Since the global financial crisis, banking regulators and academics have extended the traditional, narrow definition of "systemic risk" to encompass concepts such as "interconnectedness" and "shadow banking"....
Risk would like to invite you to join us on 14 April 2014 at 10am EST / 3pm GMT for our next FREE webinar. Joining the panel discussion will be: Moderator: Duncan Wood, Editor, RISK. Athanassios Diplas, Senior Advisor, ISDA. Barry Hadingham, Head of Derivatives and Counterparty Risk, AVIVA INVESTORS. Neil Murphy, Director, Collateral Product Management, IBM RISK ANALYTICS. Click to register.
More Basel ii articles
In the last three years most European banking groups have chosen to adopt Basel II "advance status". This has required banks to develop statistical models for estimating probability of default, loss given default and exposure at default within a horizon...
In this issue of The Journal of Credit Risk we present three full-length research papers and one technical report. The issue's first paper, "Debt structure, market value of firm and recovery rate", is by Min Qi and Xinlei Zhao. In this paper the authors...
Implementation of Dodd-Frank Act raises op risk concerns, conference hears
Failure is a "black eye" for US financial sector, according to Federal Reserve Bank of Richmond unit head
Defining reputational risk still a challenge for risk managers, panel says
Some banks calculating measures that are 3% of the median in Basel Committee study, while others are more than 2,500%
Regulators are bracing for fresh criticism of bank capital modelling, say industry sources
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
Hong Kong, 1st - 31st Dec 2014
Japan, 24th Apr 2014
Japan, 24th Apr 2014
USA, 30th Apr 2014
USA, 8th - 9th May 2014