Resampling slashes credit risk VAR underestimates – research
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
It’s a perennial dilemma for credit risk managers: how do you gauge an accurate picture of risk exposure on loan portfolios where data is thin or discontinuous? If available data only covers a few years, a lender could be significantly underestimating its credit risk value-at-risk. But, according to new research, judicious use of resampling techniques can remove most of this risk, where banks are
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