Quant Congress USA: Quant departments have become “sterile” and “dumbed-down”
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...
More Risk analysis articles
Capturing tail events, especially those that include the rare possibility of severe loss, is one of the important objectives of modern risk analysis. However, the past behavior of financial data is not...
Limits and boundaries
Analytical risk contributions for non-linear portfolios
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.