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Risk magazine

Confidence intervals for corporate default rates

Rating agency default studies provide estimates of mean default rates over multiple time horizons but have never included estimates of the standard errors of the estimates. This is due at least in part to the challenge of accounting for the high degree…

kerviel

Genius or blunder?

As more details emerge on the rogue trading scandal that caused a EUR4.9 billion loss, Société Générale appears more a victim of risk management failures than of a genius of fraud. But is this case a one-off, or are other institutions similarly…

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Whither originate and distribute?

Some argue the crisis in structured credit markets signals the demise of the originate-and-distribute model of banking, but this fails to take into account the pattern of all revolutions, argues David Rowe

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