As defaults rise, firms step up sophistication of counterparty assessments
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.
The article discusses the use of counting processes for retail (mortgage) default modeling.
Volume 8, Issue 2 (2014)
Volume 16, Issue 5 (2014)
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
Don’t say we didn’t warn you
Stress testing with fully flexible causal inputs
Beyond the big three
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
The sovereign specialist
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
Risky funding with counterparty and liquidity charges