Credit portfolio risk
Credit portfolio manager of the year: JP Morgan
Original headline:
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...
Original headline:
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and...
Original headline:
Credit portfolio management (CPM) looks like an afterthought at many banks: the function is locked away at the end of the lending process, having little interaction with the business lines and minimal...
Worried about regulation?
Read in-depth analysis of top regulatory issues today!
Find the information you need in articles from across Risk.net on Basel III, the Dodd-Frank Act, and Solvency II.
More Credit portfolio risk articles
Name concentration correction
Original headline:
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive...
Name concentration correction
Original headline:
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive...
BP’s oil spill to double energy companies’ IT spend
Published online only
The aftermath of BP’s Gulf of Mexico oil spill could double the amount energy companies will spend on information technology (IT) as they look to adhere to new regulatory requirements in offshore drilling pursuits
31% of oil and gas firms lack ETRM solutions
Published online only
Nearly one third of all oil and gas companies are more susceptible to systemic risk, as a report reveals 31% of these firms lack an energy trading and risk management (ETRM) solution for their operations
A rotationally invariant technique for rare event simulation
Published online only
Because of their low probability, including extreme events in Monte Carlo calculations of the value-at-risk of a credit-risky portfolio requires many simulations. Here, Susanne Klöppel, Ranja Reda and Walter Schachermayer demonstrate a geometrically...
Estimating credit contagion in a standard factor model
Published online only
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among...
The probability approach to default probabilities
Published online only
Default estimation for low-default portfolios has attracted attention as banks contemplate the requirements of Basel II's internal ratings-based rules. Here, Nicholas Kiefer applies the probability approach to uncertainty and modelling to default probability...
Forgot your Risk.net password?
Renew your password now!
Make sure you don't miss a day of Risk.net's essential content. Refresh your password today online!
Related conferences
-
Risk South Africa
South Africa, 28th - 2nd Mar 2012
-
OpRisk North America 2012
USA, 20th - 23rd Mar 2012
-
Risk Annual Summit
UK, 20th - 23rd Mar 2012
-
Risk & Return Россия 2012
Russia, 25th Apr 2012
-
Risk and Return Russia
Russia, 25th Apr 2012
Related training
-
Nexus-Risk Training
USA, 26th Oct 2012
-
Marcello Minenna on Derivative Pricing and Model Calibration: Tools and Techniques
UK, 15th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
UK, 16th - 17th Feb 2012
-
Basel 2.5 to Basel III: Challenges and Objectives for Risk Management
USA, 23rd - 24th Feb 2012
-
Patrick Hagan on Fixed Income
UK, 23rd - 24th Feb 2012
Updating your subscription status 
Email alerts
Weekly poll
Technology white papers
Related Jobs
