Credit risk modelling
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
This issue of The Journal of Risk Model Validation comprises four papers: the first two deal with practitioner credit risk models in an intensive fashion, while the remaining two could be deemed to be...
More Credit risk modelling articles
The authors evaluate the relative performance of logistic credit risk models that were selected by means of standard stepwise model selection methods and "average" models obtained by Bayesian model averaging (BMA).
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 rates negatively correlated with the default probability....
In this issue of The Journal of Credit Risk we present three research papers and one technical report. Our first research paper is "Recovery rate risk and credit spreads in a hybrid credit risk model" by Mathieu Boudreault, Geneviève Gauthier and Tommy...
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
Economic growth has leapt ahead of Indonesian banks’ ability to assess the credit risk they are being exposed to – but with the central bank finally implementing Basel II is there a regulatory solution to these problems?
Our journal's subject matter continues to evolve in response to current issues. This is clearly a very healthy process and is of obvious benefit to all associated with The Journal of Risk Model Validation. An instance of this process of evolution is...
In response to industry fears of a collateral crunch, regulators have revised the proposed rules on margining for uncleared over-the-counter (OTC) derivatives.You can find out more by downloading this white paper here.
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