Loss distribution

• Risk management

Credit risk measurement of securitisation structures

Peter-Paul Hoogbruin, Harmenjan Sijtsma and Viktor Tchistiakov of ING Group Credit Risk Management present a framework for valuing securitisation tranches from an investor’s perspective.

• 11 Sep 2002

• Credit markets

Analytical approach to credit risk modelling

The increasing popularity of VAR-based credit portfolio risk models has led to a growing recognition that Monte Carlo techniques are inadequate for economic capital calculations. Here, Michael Pykhtin and Ashish Dev present a new analytical alternative…

• 01 Mar 2002

• Infrastructure

Integrating correlations

Credit risk

• 01 Jul 1999