Credit risk modelling
Myron Scholes predicts 'golden age' for quants
Top quant sees bright future for mathematical finance as it tackles problems thrown up by the crisis
Perverse capital
Perverse capital
Credit risk models alone do not capture sovereign risk – Nicholas Spiro profile
The sovereign specialist
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
A practical anatomy of IRC modelling
Research Papers
Risky funding with counterparty and liquidity charges
Risky funding with counterparty and liquidity charges
Quant Congress Europe: Credit models linked to 'vicious circles'
Model risk comes from overuse of credit measures, as well as poorly constructed models, conference hears
Sovereign CDSs as a risk indicator
Sovereign CDSs as a risk indicator
Technology provider of the year, Asia – Numerix
For its continued expansion in China and South Korea as well as its established business in Japan, Numerix is the Structured Products Technology Provider of the Year for Asia
Quant Congress USA: "Only models were reliable during crisis," says AQR CRO
Quants push back against criticism of models at Risk's Quant Congress USA event in New York
Data not judgement required for Nordic banks' Basel approach
Nordic banks want to use the Basel framework’s advanced approach to credit risk capital, but local regulators are insistent that data – rather than judgement – has to be the basis for the calculations. Banks don’t have enough instances of default in…
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…
Interview: Darrell Duffie on credit risk modelling
Stanford University’s credit risk expert, Darrell Duffie, talks with Katie Holliday about changes in the modelling of credit risk within energy markets since the financial crisis
Tails of the unexpected
Credit Models
Credit risk modelling
Sponsored Statement
Time to adapt copula methods for modelling credit risk correlation
In an evolving market, a new standard for the price quotation of credit products that models correlated changes in credit spreads as well as default times is needed, argues Darrell Duffie.
How good is your information?
Fraud, opaque accounting practices and incomplete data are unavoidable. Butare they factored into a credit risk forecast? An emerging class of models doesthe job by assuming incomplete information. Barra's Lisa Goldberg explains.