Credit risk modelling
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
Insurers developing internal model risk calibrations for non-standard credit assets
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Indonesia’s credit growth outrunning risk management
Credit limit
Risk 25: Cutting edge classics
Don’t say we didn’t warn you
Stress testing with fully flexible causal inputs
Stress testing with fully flexible causal inputs
Credit rating agencies: what are the alternatives for energy markets?
Beyond the big three
Myron Scholes predicts 'golden age' for quants
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
Perverse capital
Perverse capital
Credit risk models alone do not capture sovereign risk – Nicholas Spiro profile
The sovereign specialist
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
A practical anatomy of IRC modelling
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Quant Congress Europe: Credit models linked to 'vicious circles'
Model risk comes from overuse of credit measures, as well as poorly constructed models, conference hears
Sovereign CDSs as a risk indicator
Sovereign CDSs as a risk indicator
Technology provider of the year, Asia – Numerix
For its continued expansion in China and South Korea as well as its established business in Japan, Numerix is the Structured Products Technology Provider of the Year for Asia
Quant Congress USA: "Only models were reliable during crisis," says AQR CRO
Quants push back against criticism of models at Risk's Quant Congress USA event in New York
Data not judgement required for Nordic banks' Basel approach
Nordic banks want to use the Basel framework’s advanced approach to credit risk capital, but local regulators are insistent that data – rather than judgement – has to be the basis for the calculations. Banks don’t have enough instances of default in…