Default risk
Equity to credit pricing
Default models
Banking on progress
A dizzying array of credit risk technology firms have set up shop in Asia in order to reap the rewards of the new Basel recommendations. But are Asia’s regional banks ready to implement these systems?
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
How dependent are defaults?
Credit portfolio management
Modelling default correlation
Credit risk
Depressing recoveries
Credit risk
HJM with multiples
Term structure of credit
The price of credit
Masterclass – with JP Morgan
Integrating correlations
Credit risk