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"....
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
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
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future