Credit portfolio modelling
Credit portfolio models are now widespread across the banking industry. CreditRisk+, originally introduced by Credit Suisse Financial Products in 1997, is one of these models.
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...
More Credit portfolio modelling articles
The Basel Committee’s newly formed standards implementation group is charged with monitoring how banks are adhering to the requirements of the Basel III accord. The chair of the group, Ryozo Himino, talks to Nick Sawyer about consistency with Basel...
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair of the group, about the monitoring of timelines, consistency with Basel minimums and the investigation...
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but quick – field-programmable gate arrays. By Clive Davidson
Being asked to achieve more with fewer resources is a common gripe in any walk of life – but increasingly so for credit portfolio managers. The past 12 months saw them having to manage the shifting risk profiles associated with the eurozone debt crisis,...
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
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.
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