Credit risk
Growing P2P lenders confront "profound" risks
UK platforms worry about rogue rival services with weak credit controls
OpRisk North America: Op risk lags credit and market risk
Op risk disconnect from business, conference hears
Margin calling: Is your VAR methodology ready for initial margin on uncleared derivatives?
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The simple link from default to LGD
A new approach to incorporating loss given default into models
The optimisation of everything: OTC derivatives, counterparty risk and funding
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Commercial credit analytics: Improving productivity
Content provided by IBM
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
The simple link from default to LGD
The simple link from default to LGD
Proposals for stable Solvency II credit risk adjustment 'good news' but floor sparks controversy
European Commission's unofficial Level 2 draft disregards insurers’ calls for the adjustment to be capped
Rapporteur Balz on long-term guarantees, Solvency II's level 2 and global standards
Two months after the landmark political agreement on Omnibus II, MEP Burkhard Balz discusses the thorny issues that did not make it into the directive, spells out his expectations for the level 2 text and gives a warning about the implications of global…
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
EBA: Common credit risk definitions vital
European regulators have overhauled bank reporting standards to ensure comparability, with new Finrep and Corep templates to be rolled out from this month. The latest step has been to agree common definitions for forborne and non-performing exposures…
Finra bears down on complex structured products
Topping the regulator's list of priorities for 2014 is ensuring that US brokers make adequate enquiries before offering complex products to retail investors
Swedish insurers to suffer capital hit as regulator approves rule changes
Calls to delay December implementation fall on deaf ears
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Systematic risk factors redefined
Systematic risk factors redefined
Energy Risk Europe: Questions over benefits of CVA for energy firms
Lack of credit team or CVA desk might make use of measure counterproductive, panellists worry
Exposure under systemic impact
Exposure under systemic impact
Banks still battling with sales-driven culture, survey finds
Latest EY risk management survey finds risk culture questions remain