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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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.