Modelling
Modelling default rate dynamics in the CreditRisk+ framework
Credit portfolio risk
Experts expect to finalise Basel II securitisation issues this week
LONDON – Technical experts expect this week to finalise their proposals for handling the one major issue still outstanding in the complex Basel II accord aimed at making the world’s banking system safer – the technically thorny question of how to treat…
Finessing fixed dividends
Equity options
Credit model evaluation
With the new Basel Capital Accord scheduled for implementation in 2005, banks are having to evaluate the credit scoring models that will enable them to meet the minimum standards for Basel’s internal ratings-based (IRB) approach. Selecting an appropriate…
Op risk modelling evolves
Operational risk is devilishly difficult to model, but dealers and software vendors are making headway. Automated op risk reporting, profiling and sophisticated operational value-at-risk (VAR) modelling are finally beginning to catch-on in banks.
Modelling growth stocks
Stock valuation models
Regulators looking at possible changes to Basel II credit risk plans
Basel - Global banking regulators are studying possible changes to the credit risk proposals of the complex Basel II bank capital accord, after seeing evidence that banks face higher capital charges under Basel II than they do under the current Basel I…
Equity to credit pricing
Default models
Irreconcilable differences
Model comparison
Plugging into electricity
Commodities
A risk-control model for operational risk capital
Basel II's op risk proposals should allow for a simple internal model, argues Tony Blunden in his second article on the new capital adequacy accord.
Forward thinking
Forward simulation
Modelling credit migration
Masterclass – with JP Morgan
Modeling and measuring operational risk
Recent operational risk events such as occurred at Barings, Daiwa, Sumitomo, and other institutions show the importance of measuring and controlling such operational risk. In this paper the authors present a quantitative operational risk measurement…