A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger...
The Certificate in Quantitative Finance is a global quant program that focuses on teaching practical quant techniques used in risk management.
Join us online to learn more: 11 December
More Credit risk articles
Ashish Dev Practice Leader, ERM and Structured Products Advisory, Promontory Financial, New York Credit risk has always constituted by far the biggest risk for many large banks, almost all medium and...
We consider stochastic correlation models that account for the correlation smile in the pricing of synthetic CDO tranches. These can be viewed as tractable extensions of the one-factor Gaussian copula...
This paper introduces and explores variations on a natural extension of the intensity-based doubly stochastic framework for credit default. The essential addition proposed here is to introduce a Markov...
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.