This paper suggests a methodology for valuing credit default swaps that takes account of counterparty default risk as well as correlated market and credit risk. It incorporates market risk into determining...
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More Credit risk articles
Cutting edge: Capital allocation
Few banks disclose much about their credit risk models, the types of credit risk mitigation techniques they employ, or even the external or internal ratings assigned to their credit exposures, accor...
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.