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...
In this white paper, Gordon Russell, Global Head of Risk at Broadridge Investment Management Solutions argues that the chances of survival in this new environment will be greater for funds that implement solutions to efficiently and cost-effectively manage data and risk.
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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...
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.