In this paper, we propose Vasicek-type models for estimating portfolio-level probability of default (PD). With these Vasicek models, asset correlation and long-run PD (LRPD) for a risk-homogeneous portfolio...
More Federal reserve articles
Changing hats – December 2013/January 2014
US regulatory concerns about liquidity of government securities collateral could be resolved by access to the Fed’s discount window, CCP officials say
Focus on the future
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
Changing hats – November 2013
Barclays clinches deal with Hawaii refinery as US Federal Reserve scrutinises physical commodity trading by banks
The surprise decision by the Federal Reserve last month not to scale back its quantitative easing programme will create more volatility, says economist
The role of banks in physical commodities is poorly understood, but it is not indispensable
UK and US authorities fine bank over $6.2 billion trading losses in July 2012
Multivariate analysis is a powerful tool for finding significant relationships between business environment and risk losses
Major US banks are failing on key risk management tasks, regulator says
Amid a review of a 2003 determination by the Federal Reserve, the involvement of US banks in physical commodities has come under fire from regulators, politicians and the media. Could they really be...
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.