Journals / Journal of Credit Risk
The Journal of Credit Risk
Led by Editor-in-Chief Ashish Dev from JPMorgan Chase, and a respected Editorial Board, this international refereed journal is at the forefront in tackling the many issues and challenges posed by the recent financial crisis.
With the re-writing of the Basel accords in international banking and their ensuing application, interest in credit risk has never been greater. More...
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of ...
More Journals / Journal of Credit Risk articles
Volume 10, Issue 2 of the journal presents two research papers and two technical reports. The first research paper in the issue is "Estimation of risk measures for large credit portfolios" by Johannes Hauptmann, Pablo Olivares and Rudi Zagst. The authors propose a methodology to assess risk measures for portfolio losses in the context of credit risk.
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.