Credit Portfolio Modelling
Volume 8, Issue 2 (2014)
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...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Credit Portfolio Modelling articles
Under one accord
Time for scrutiny
The gate array way
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
An analytical framework for credit portfolio risk measures
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.