Default risk
S&P acquires Default Filter from IQ Financial
Standard & Poor’s (S&P) has acquired the Default Filter credit risk management assets from risk management software company IQ Financial Systems.
The need for hybrid models
In response to the above article, the authors argue that pure firm-value approaches to default prediction are fundamentally flawed.?
Predictive Merton models
Do default indicators such as agency ratings improve upon the predictive power of KMV’s proprietary default prediction methodology?
Pricing default baskets
Nicholas Dunbar, Risk’s technical editor, introduces the first in a new series of technical papers written by quants at Deutsche Bank.“Default correlation has been one of the hottest topics in credit derivatives over the past year. So it is a pleasure to…
Equity to credit pricing
Default models
Banking on progress
A dizzying array of credit risk technology firms have set up shop in Asia in order to reap the rewards of the new Basel recommendations. But are Asia’s regional banks ready to implement these systems?
Probing granularity
The granularity adjustment, which adjusts risk weightings for credit portfolio diversification, is one of Basel II’s key modelling assumptions. Here, Tom Wilde uncovers a weakness in this assumption arising from the differences in the underlying credit…
How dependent are defaults?
Credit portfolio management
Modelling default correlation
Credit risk
Depressing recoveries
Credit risk
HJM with multiples
Term structure of credit
The price of credit
Masterclass – with JP Morgan
Integrating correlations
Credit risk