CreditMetrics
Finding the corporate credit cycle for IFRS 9
Decomposing corporate default rates helps identify credit cycles
Reverse stress tests with bottom-up approaches
Research Papers
Correlation and credit risk
Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework.
Credit risk in asset securitisations: an analytical model
How much capital should banks reserve against investments in portfolio securitisations? Asserting that recent proposals on this subject by Basel are inconsistent, Michael Pykhtin and Ashish Dev propose a new analytical model suitable for tranches of…
Building for Basel
The 2005 implementation date for the new Basel II Accord – already postponed by a year – is looming large. Whilst the banking sector is steadily gearing up for the proposed changes, there are fears that some institutions may be left behind.