Focus on historical data is out of step with speed of change, says head of L&G Capital
This paper compares two methods of estimating LGD: a beta regression model and a multinomial logit (MNL) model.
More Modelling articles
In this issue of The Journal of Computational Finance, we encounter different contemporary approximations and techniques for financial problems.
Making the right decisions requires an enterprise-wide view of risk, authors argue
Management depends on clear information to harness full value, say specialists
By introducing the set-valued scenario, this paper proposes a unified robust portfolio selection approach under downside risk measures.
A five-minute formula from Alexander Denev that takes you through a simple probabilistic graphical model and explains how and why these are used. Find out more about the ground-breaking book, Probabilistic...
The authors of this paper investigate the risk modeling of commodities. They note that return distributions differ widely across different commodities, both in terms of tail fatness and skewness.
Buffett's warning on perils of volatility is well justified, argues Kaminski
Vincent Kaminski explores the potential dangers lurking in oil markets
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.