Cakes and candles can help risk managers get flavour right, argues Ariane Chapelle
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ABSTRACT We demonstrate how introducing economic variables into a credit scorecard improves the predictive power of that scorecard. Such a scorecard can forecast default rates accurately, even when economic...
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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.