Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
CVA and the equivalent bond
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is...
The prices of some loan products for retail and middle-market corporate clients will almost certainly rise when banks implement the Basel II capital Accord in 2006, according to speakers at Risk 's Capital Allocation 2002 USA conference this morning.
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome systemic...
While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.