The aim of this paper is to develop an alternative model for portfolio credit risk to those widely used: CreditRiskC and CreditMetrics. The model aspires to patch the usual weak spots of portfolio credit...
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Credit risk articles
We present the results of a business solution on how to measure credit and counterparty risk, with the main focus on over-the-counter derivatives. Moreover, we use this approach to include the measurement...
Surviving disasters needs more than a BCM plan
The institutionalisation of P2P lending is creating new risks, critics warn
Regulatory changes are increasing the importance of collateral agreements and credit issues in over-the-counter derivatives transactions. This paper considers the nature of derivatives collateral agreements...
Regulator challenges "mechanistic re-application" of matching adjustment
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Financial models fall down in energy markets, argues Kaminski
Sponsored interview: Commerzbank
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Volume 10, Issue 2 of the journal presents two research papers and two technical reports. The first research paper in the issue is "Estimation of risk measures for large credit portfolios" by Johannes Hauptmann, Pablo Olivares and Rudi Zagst. The authors propose a methodology to assess risk measures for portfolio losses in the context of credit risk.
Volume 16, Issue 5 (2014)
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.