Mirela Predescu is a manager at BNP Paribas, Risk Analytics & Modelling in London. Mirela is also a Visiting Lecturer at Cass Business School, City University London. Prior to BNP Paribas, Mirela has held positions in the portfolio modelling team at Lloyds Banking Group and the quantitative analytics team at Fitch Solutions. Before moving to the financial industry, Mirela was a University Lecturer at Saïd Business School, University of Oxford. Mirela holds a PhD in Finance from Rotman School of Management, University of Toronto and an MA in Economics from University of Toronto.
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.