Credit risk modelling
A bottom-up model with top-down dynamics
Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…
Interview: Darrell Duffie on credit risk modelling
Stanford University’s credit risk expert, Darrell Duffie, talks with Katie Holliday about changes in the modelling of credit risk within energy markets since the financial crisis
Tails of the unexpected
Credit Models
Credit risk modelling
Sponsored Statement
Time to adapt copula methods for modelling credit risk correlation
In an evolving market, a new standard for the price quotation of credit products that models correlated changes in credit spreads as well as default times is needed, argues Darrell Duffie.
How good is your information?
Fraud, opaque accounting practices and incomplete data are unavoidable. Butare they factored into a credit risk forecast? An emerging class of models doesthe job by assuming incomplete information. Barra's Lisa Goldberg explains.
Corporate Statement > Alliance & Leicester Choose WhiteLight
After an extensive review of vendor solutions, Alliance & Leicester, one of the UK's major financial services groups, has chosen WhiteLight, a SymphonyRPM company, to provide their Basel II Retail Credit Risk solution.
Collateral damage
Credit risk
Bank risk disclosure improving, says Basel Committee
A new report from the Basel Committee on Banking Supervision says that, overall, banks are improving their disclosure of credit, market, operational and other risks in their annual reports.
Credit and credibility
Credit risk modellers have made giant strides, but they still have to convince regulators that they can make the world a safer place.
IRB approach explained
At the end of this month, the consultation period for the new Basel Accord on bank capital will end. We have prepared a technical section this month devoted to various issues surrounding Basel II. In the first paper, Tom Wilde sheds light on the…
Modelling default correlation
Credit risk
A credit risk catwalk
Credit risk models
Reconcilable differences
H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.