Credit risk
Calibration of PD term structures: to be Markov or not to be
A common discussion in credit risk modelling is the question of whether term structures of default probabilities can be satisfactorily modelled by Markov chain techniques. Christian Bluhm and Ludger Overbeck show that empirical multi-year default…
The data puddle challenge
The loss event taxonomies currently in use are inadequate. The worst problem is the lack of clarity with regard to the boundary conditions between risk event categories. Tara McLenaghen explores the issues
The underlying dynamics of credit correlations
Research Papers
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Defining the boundaries
Him Chuan Lim, Basel II programme director at DBS Bank in Singapore, talks to Ellen Davis about operational risk's complex relationship with both credit risk and market risk
Profile - Savvy with synthetics
Credit Risk
CDO managers - Do the ends justify the fees?
Credit Risk