Technical paper/Modelling
Finessing fixed dividends
Equity options
Credit model evaluation
With the new Basel Capital Accord scheduled for implementation in 2005, banks are having to evaluate the credit scoring models that will enable them to meet the minimum standards for Basel’s internal ratings-based (IRB) approach. Selecting an appropriate…
Modelling growth stocks
Stock valuation models
Equity to credit pricing
Default models
Plugging into electricity
Commodities
Forward thinking
Forward simulation
Modelling credit migration
Masterclass – with JP Morgan
Modeling and measuring operational risk
Recent operational risk events such as occurred at Barings, Daiwa, Sumitomo, and other institutions show the importance of measuring and controlling such operational risk. In this paper the authors present a quantitative operational risk measurement…