More Credit risk articles
Robert Jarrow and Donald van Deventer show how to estimate default event correlations using a reduced-form model with historical default data.
Loan pricing systems
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.