Credit portfolio management (CPM)
Plugging the gaps
Italian banks have overhauled the risk management of their loan portfolios. But weaknesses still remain, particularly in the area of risk-adjusted pricing and credit risk transfer. Rachel Wolcott looks at what steps Italy’s banks are taking to fill the…
Basel II simplifies management of credit portfolios, says BIS
Basel II will facilitate early detection of the quality of a credit portfolio because it allows for progressive estimation of the probability of default (PD) of borrowers, according to the Basel Committee on Banking Supervision.
Basel II simplifies management of credit portfolios, says BIS
Basel II will facilitate early detection of the quality of a credit portfolio because it allows for progressive estimation of the probability of default (PD) of borrowers, according to the Basel Committee on Banking Supervision.
Using the grouped t-copula
Student-t copula models are popular, but can be over-simplistic when used to describe credit portfolios where the risk factors are numerous or dissimilar. Here, Stéphane Daul, Enrico De Giorgi, Filip Lindskog and Alexander McNeil construct a new,…
On the dependence of equity and asset returns
Asset returns play an important role in credit risk modelling. Here, Roy Mashal, Marco Naldiand Assaf Zeevi investigate the co-dependence behaviour of asset returns semiparamatrically.They find that the Student-t copula outperforms the normal copula as…
Unexpected recovery risk
For credit portfolio managers, the priority is to properly incorporate recovery rates into existingmodels. Here, Michael Pykhtin improves upon earlier approaches, allowing recovery rates todepend on the idiosyncratic part of a borrower's asset return, in…
Probing granularity
Basel II
The power of the portfolio
To observers, credit portfolio modelling appears particularly dependent upon making approximations. Derivatives traders may study finite difference schemes, but at least the pricing models are finely calibrated to the market. Asset managers might have to…
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the 'granularity adjustment') to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
Unsystematic credit risk
Although Basel has shifted its treatment of unsystematic credit risk from the first, capital rules pillar (where it was called the ‘granularity adjustment’) to the second, supervisory pillar of the forthcoming Accord, this issue is of great practical…
ING Financial Markets to use Credient for credit portfolio management
The Netherlands-based ING Group has selected SunGard Trading and Risk Systems' Credient application to support its credit portfolio management business.
How dependent are defaults?
Credit portfolio management
A credit risk catwalk
Credit risk models