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US credit risk modellers prepare for life after IRB

Stress tests and economic capital calculations may not carry the same weight as Basel ratio ....

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EU eyes fix to FRTB's capital asymmetry for govvies

Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA ....

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Nationwide's IRB charges up 89% on PRA's parameter curbs

The building society’s strict focus on mortgages meant impact was all-sweeping ....

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Project finance risk methodologies: focus on PD and LGD modelling within the Basel Framework

Federico Tacchetto, senior manager at Prometeia, describes how to calculate risk parameters for project finance exposures. Based on a simulation approach of the ....

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How to model potential exposure, post-Archegos

BofA quant’s model considers the correlation between market shocks and counterparty defaults ....

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