Clearing members say narrow definition of default may limit ratings’ usefulness
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US bank restructured huge Swiss franc swap during market turmoil
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This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Energy firms get wise on credit risk; asset managers tackle op risk
This issue includes: an analytical value-at-risk approach; loss distributions; default risk of money-market fund portfolios; and credit scoring and medical collections.
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.
Societe Generale: Leading industry practices for real-time identification of risk-efficient trades with a centralised CVA desk
Sophisticated IBM risk analytics equip traders with powerful and accurate CVA desk solution
IBM delivered a unified solution for measuring and managing counterparty exposures and CVA
BBVA: Optimising counterparty risk capital with real-time simulation-based exposure and limits management
Spanish bank secured gold standard of credit exposure and xVA measurement using IBM algorithmic software
Working with IBM, the bank has built an automated process that calculates key risk metrics overnight
As defaults rise, firms step up sophistication of counterparty assessments
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous-time...
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of credit default swap premiums.
Regulation could "kill the markets by trying to make them safer", frets Uwe Schulz
Sanjay Sharma talks about risk transparency and how his book helps achieve it.
This paper puts forward an ensemble approach for asset correlations.
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