Loss distribution
Fitch upgrades OpVar tool for operational risk
Fitch Ratings has added a range of new services to its OpVar software suite, an operational risk management quantification tool. Version 5.0, scheduled for release in March, now offers an enhanced data collection module and improved data management…
OpVar 4.2 unveiled
New York-based operational risk quantification firm OpVantage - a division of Fitch Risk Management - has launched version 4.2 of its OpVar operational risk product suite. The suite allows users to collect op risk data, analyze loss probabilities, scale…
Credit risk measurement of securitisation structures
Peter-Paul Hoogbruin, Harmenjan Sijtsma and Viktor Tchistiakov of ING Group Credit Risk Management present a framework for valuing securitisation tranches from an investor’s perspective.
Analytical approach to credit risk modelling
The increasing popularity of VAR-based credit portfolio risk models has led to a growing recognition that Monte Carlo techniques are inadequate for economic capital calculations. Here, Michael Pykhtin and Ashish Dev present a new analytical alternative…
Integrating correlations
Credit risk