Probability of default (PD)
Basel III takes a bite out of aircraft and shipping finance
On the scrapheap
Bank capital
In depth: bank capital introduction
Credible capital: regulators prepare to tackle RWA divergence
Credible capital
Counterparty risk capital and CVA
Counterparty risk capital and CVA
Concern over accuracy of RWAs grows
A weight on their minds
Comparability of EBA stress tests questioned
The ability of banks to use their own internal models for determining stressed PDs and LGDs mean the results will not be comparable, bankers claim
The myths and truths about Basel II cyclicality
The myths and truths about Basel II cyclicality
OCBC Malaysia’s risk chief lauds obligor risk system
Obligated to risk
A bottom-up model with top-down dynamics
Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…
Sponsored statement: The problems with generally used interpolation spaces
In a world increasingly focused on effective enterprise-level risk management, there are notable discrepancies in volatility management techniques. Murex proposes a cross-asset interpolation space with potentially significant risk management impacts
Benefits of Basel II
Regulation
A multi-state Vasicek model for correlated default rate and loss severity
Correlation between default and recovery has an important bearing on credit risk capital. Here, Rahul Sen shows that the effect can be modelled efficiently by allowing multiple loss states in the Vasicek framework. Heavy-tailed distributions result for…