Alexander Campbell
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Articles by Alexander Campbell
SA-CCR tweak could slash equity risk charge – research
Better calibration would cut equity options exposures in half, research finds
FVA pain, ethical hedging and a degraded copy of Trace
The week on Risk.net, October 31–November 6, 2020
Ex-Isda risk chief: ditch gross notional thresholds for clearing
10 years on, David Murphy says mandate should be rebased to exempt less risky firms
Swap termination, SA-CCR and the AFM’s push for fair treatment
The week on Risk.net, September 5-11, 2020
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Swap stays, FX clearing, and the value of real options
The week on Risk.net, August 29 - September 4, 2020
Target2 ‘fingerprint’ could flag liquidity problems – research
Deviations from regular payment patterns are a sign something might be wrong
Study suggests banks may be better off with simpler VAR models
Non-parametric VAR models perform well in calm markets, but miss the mark in volatile periods
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe