This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Total SCR drops 8% to €20.4 billion in 2018
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
The region’s NPL ratio stood at 3.2%, down 20bp on the previous quarter
US self-sufficiency in oil could be bad news for shale producers
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Quants propose an allocation method for internal model capital charges
Wells Fargo’s PCLs climb 62% quarter-on-quarter
Total solvency capital requirement down €600 million year-on-year
Average capital depletion across seven G-Sibs was 11bp
Solvency capital requirement falls 9% year-on-year
Iceland, Bulgaria and France have also increased add-ons year-to-date
JP Morgan cut CDS notionals the most, shedding $36.8 billion from its portfolio
Financial institutions must entrust oversight of climate risk to named individual under senior managers regime
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
Data shows fourth-quarter jump in IM across all product groups and after-effects of Nasdaq losses
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Total RWAs increase 3% on quarter-on-quarter
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
RWAs rise Dkr6.2 billion on accounting switch
Impairments jump €142 million in the US and €51 million in Turkey year-on-year