Credit risk modelling
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 modelling articles
Volume 16, Issue 5 (2014)
This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger while keeping the capital structure intact. This produces random recovery...
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
In current credit risk models, default probabilities and recovery rates are often treated independently. However, when the structural connection between these quantities is neglected, the risk of large...
Empirical findings and theoretical studies suggest that firms adjust toward timevarying target leverage ratios. This paper studies the performances of the default probabilities generated from two structural...
Beyond the big three
The sovereign specialist
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
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.