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...
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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
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.