Integrating coherences between defaults and loss given default (LGD) is postulated by Basel II. If there is a positive correlation between the two, separate models for each lead to biased estimates ...
Stuart M. Turnbull Bauer Chaired Professor, Bauer College of Business, University of Houston In this issue we have four papers. The first, by Leif Andersen, examines the structure and limitations of...
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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.