ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
Melissa Brown, managing director of applied research at Qontigo, reveals how changes in the macroeconomic environment can influence portfolio risk across a range of investing styles
An interpretable Comprehensive Capital Analysis and Review (CCAR) neural network model for portfolio loss forecasting and stress testing
This paper proposes an interpretable nonlinear neural network model that translates business regulatory requirements into model constraints.
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Credit portfolio managers explore insurance contracts to offset risk from loan book
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
Environmental stress tests and scenario analysis reveal hidden risks
This paper proposes a portfolio credit risk model with random recovery rates.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Move to expected loss impairment regime brings major challenges, say banks and accountants
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
In defence of cross-product margining
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
Ratings-based models are widely used by firms making their own capital decisions and by policy-makers designing regulatory capital requirements. By ignoring fluctuations in spreads for given rating categories, the currentgeneration of ratings-based…