Opinion/Risk management

The convergence of ALM and ERM

Banks seeking a truly complete view of their exposures are beginning to seek ways to integrate the enterprise risk management systems they use for their trading books with the asset and liability management systems they use for their banking books. Clive…

Correlation and credit risk

Active development of full credit portfolio modelling continues apace, even though it is not recognised in the proposed Basel II framework. An important issue is the relationship between probability of default and loss-given default. In this last of four…

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