
The correlation debate
These remarks are in response to an article published in the July issue of Risk (Correlation Confusion, pages 59-61). Michael Pykhtin (now at Bank of America) and I have been deeply involved in the Basel II formulation process and contributed to the Basel II securitisation ratings-based approach (RBA) rules - the RBA was calibrated to the Pykhtin-Dev model, published in Risk in May 2002 (pages S16-S20) and January 2003 (pages 113-116). We were also involved in formulating the correlations - or
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email info@risk.net
More on Risk management
Top 10 operational risks: The umpire strikes back
Tougher regulatory enforcement, new consumer rules and rise of ESG are ringing alarm bells
Ion wasn’t deemed a ‘critical’ vendor by most clients
Software firm escaped heavy scrutiny ahead of cyber attack, says US Treasury official
Op risk data: Stanford fraud haunts banks for billions
Also: Helaba’s crank capital relief; TSE stock price sanction; 1MDB mauls Mudabala. Data by ORX News
Hacked off: banks demand answers after Ion cyber attack
Clients left in the dark about ransomware attack that disrupted futures trading last month
Digital exposure makes fraud management a vital responsibility for financial institutions
Fraud management and detection continue to be an increasing area of concern for financial institutions worldwide
UBS takeover of Credit Suisse to trigger higher G-Sib surcharge
At 14.2%, UBS’s CET1 capital ratio is more than sufficient to absorb the deal
Nasdaq exec criticises VAR models in erratic energy markets
FIA Boca 2023: Model being adopted by rivals is “bad choice” for unpredictable assets, says exchange tech official
Ice exec rejects cloud for critical infrastructure
FIA Boca 2023: SVP Bland “can’t imagine” outsourcing critical infrastructure; DRW’s Wilson warns of concentration risk