Sponsored webinar: Moody's Analytics and Qlik
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Obligations set to mushroom for administrators and contributors
This issue covers a range of topics, including: credit mismeasurement, backtesting methodology, stress testing and commodity risk model validation.
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
Reducing model diversity may endanger AMA's risk management benefits
Benchmarking falling out of favour, says BlackRock report
Survey aims to assess the state of the art for op risk
Operational risk head calls for better benchmarking across industry
Sponsored forum: Stoxx
In the February 2014 editorial video, OpRisk's latest industry survey finds room for improvement in risk management
Index providers the latest part of the financial system to have European equivalency problems
The Operational Riskdata Exchange says benchmarking is the next step in its effort to help operational risk managers improve their use of scenarios
Asset managers have reported demand from clients for so-called unconstrained bond strategies; freeing them from the rigidity of managing to benchmark bond indexes. Credit talked to five leading investment firms to get their take on the unconstrained movement
American financial regulators (the Agencies) have issued survey materials for the fourth Quantitative Impact Study (QIS4) and the Loss Data Collection Exercise (LDCE) in preparation for the implementation of the Basel II capital framework in the country.