Credit risk modelling
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...
Ashish Dev JPMorgan Chase, New York 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...
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit risk modelling articles
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 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 portfolio losses can be underestimated considerably....
This fall issue of The Journal of Risk Model Validation brings together three papers with a credit focus and one paper that is a more general methodological piece. This latter paper is likely to resonate more with equity risk managers but all four make...
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 credit risk models (one with time dependent...
In October 2001, two prescient articles drew attention to the Gaussian copula model – that would play such a crucial role in the crisis to come – and anticipated the methods regulators are now exploring to capitalise market liquidity risk
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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