The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Fewer models and higher capital requirements seen as likely outcomes of SSM review
Resilience of hard-hit regional lenders scrutinised as losses mount
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Banks neglecting necessary work on data and model governance, warn tech vendors
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Clearing members say narrow definition of default may limit ratings’ usefulness
US bank restructured huge Swiss franc swap during market turmoil
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.