Probability of default (PD)

• Credit risk

Basel's new credit model

The Basel Committee’s new consultative paper allows banks to internally rate individual credits. But at the portfolio level, Basel wants to apply a single model framework, based in part on a technical paper published in Risk magazine in October 1998.

• 01 Mar 2001

• Risk management

Five reasons why regulators should approve the loss-distribution approach

The Basel Committee shied away from the most risk-sensitive way of calculating an op risk charge, says Michael Haubenstock. He argues for a green light.

• 01 Mar 2001

• Infrastructure

The long and the short of it

Investment management

• 01 Aug 2000

• Risk management

Reconcilable differences

H Ugur Koyluoglu and Andrew Hickman explore the common ground between the new credit risk models and the implications for risk management and regulatory capital reform.

• 01 Oct 1998