Risk sensitivity
Margin model keeps testing the limits of industry co-operation
Simm supporters say it is a work in progress, but more participants may slow that progress
Rating-transition-probability models and Comprehensive Capital Analysis and Review stress testing: methodologies and implementation
This paper introduces a risk component called the credit index, that represents the systematic risk part of a portfolio by a list of macroeconomic variables.
Structured products desks join the AAD revolution
Mathematical technique allows dealers to perform risk-sensitivity calculations 50 times faster
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
CVA and the equivalent bond
CVA and the equivalent bond
A short cut to the rainbow
Per Horfelt designs an efficient and accurate method to price many popular multi-asset options such as options on the minimum and maximum of several assets and podiums. The method is based on a modification of the conditional independence model and is…
Basel II to boost both large and small banks' loan prices
The prices of some loan products for retail and middle-market corporate clients will almost certainly rise when banks implement the Basel II capital Accord in 2006, according to speakers at Risk 's Capital Allocation 2002 USA conference this morning.
Pro-cyclicality in the new Basel Accord
Could Basel II worsen recessions? By backtesting the proposed capital rules to the last recession, D. Wilson Ervin and Tom Wilde argue that the increased risk sensitivity of loan portfolio regulatory capital in the new Accord could have unwelcome…
EU anticipates critics in its Op Risk charge proposals
While debates still rumble on over the new Basel capital accord, the European Union Commission's capital adequacy rules are prompting another set of arguments.