Credit risk
A creditable spread
Credit
The three flavours of VaR
Each of the three methods of calculating value-at-risk has its pros and cons. Brian Shydlo of Sirius Solutions examines them
All shook up
Structured Products
Keep what you sow
Regulatory capital
Escape hatch
Monolines
Speed tests
Counterparty Credit Risk
The CPM challenge
Credit Portfolio Management
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…
Estimating credit contagion in a standard factor model
State-of-the-art credit risk portfolio models and the new Basel capital Accord consider only symmetric dependencies between borrowers in a portfolio, such as correlations. Recently, asymmetric dependencies have been introduced by Davis & Lo (2001), among…
The wisdom of prudence
ERM in emerging Europe
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has a major bearing on credit risk capital. Rahul Sen shows the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for arbitrary loss…
Risk reallocation
The originate-and-distribute model offered a means for banks to offload credit risk from their balance sheets and distribute it to investors. But Andrew Haldane and Lewis Webber of the Bank of England argue this risk was often passed on to those least…