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...
This white paper looks at the heavy impact of regulation on investment managers, the mitigation of outsourcing risk, inefficiencies in corporate actions processing and the growing importance of collateral management.
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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.