Credit risk
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Energy markets need more than second-hand credit models
Financial models fall down in energy markets, argues Kaminski
Commerzbank's role in the creation and development of the structured products market
Sponsored interview: Commerzbank
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
Op risk tolerance, not appetite, White tells conference
UBS op risk framework head describes struggle with defining op risk appetite
Credit fears hold back US solar securitisation deals
SolarCity deals show potential and pitfalls of new asset class
Collateral and counterparty tracking: Emerging initial margin requirements
Content provided by IBM
Growing P2P lenders confront "profound" risks
UK platforms worry about rogue rival services with weak credit controls
OpRisk North America: Op risk lags credit and market risk
Op risk disconnect from business, conference hears
Margin calling: Is your VAR methodology ready for initial margin on uncleared derivatives?
Content provided by IBM
The simple link from default to LGD
A new approach to incorporating loss given default into models
The optimisation of everything: OTC derivatives, counterparty risk and funding
Content provided by IBM
Commercial credit analytics: Improving productivity
Content provided by IBM
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
The simple link from default to LGD
The simple link from default to LGD
Proposals for stable Solvency II credit risk adjustment 'good news' but floor sparks controversy
European Commission's unofficial Level 2 draft disregards insurers’ calls for the adjustment to be capped
Rapporteur Balz on long-term guarantees, Solvency II's level 2 and global standards
Two months after the landmark political agreement on Omnibus II, MEP Burkhard Balz discusses the thorny issues that did not make it into the directive, spells out his expectations for the level 2 text and gives a warning about the implications of global…
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
EBA: Common credit risk definitions vital
European regulators have overhauled bank reporting standards to ensure comparability, with new Finrep and Corep templates to be rolled out from this month. The latest step has been to agree common definitions for forborne and non-performing exposures…
Finra bears down on complex structured products
Topping the regulator's list of priorities for 2014 is ensuring that US brokers make adequate enquiries before offering complex products to retail investors