Sascha Wilkens is a senior manager at BNP Paribas, Risk Analytics & Modelling in London and previously held other positions in banking and quantitative consulting. He has published more than 60 articles in finance, many of them in internationally renowned peer-reviewed journals. His research interests are currently focussed on derivatives pricing, risk measurement and management as well as empirical capital market research. Sascha is a CFA and CAIA charterholder and holds a PhD in Finance as well as a Master’s Degree in Applied Mathematics.
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.