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 Overbeck show that empirical multi-year default frequencies...
The loss event taxonomies currently in use are inadequate. The worst problem is the lack of clarity with regard to the boundary conditions between risk event categories. Tara McLenaghen explores the issues
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how credit...
Him Chuan Lim, Basel II programme director at DBS Bank in Singapore, talks to Ellen Davis about operational risk's complex relationship with both credit risk and market risk