Sponsor's article > SunGard Launches New Version of BancWare ALM Incorporating Credit Risk Analysis into Asset/Liability Management
SunGard today announced the availability of version 5.6.2 of BancWare Asset Liability Management (ALM). The new version incorporates credit risk simulation into ALM, providing the ability to model, analyze and manage the credit risk associated with interest...
Dealing with volatility
Robert Jarrow and Donald van Deventer show how to estimate default event correlations using a reduced-form model with historical default data.