Credit portfolio modelling
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
Asset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Parameter estimation, bias correction and uncertainty quantification in the Vasicek credit portfolio model
This paper is devoted to the parameterization of correlations in the Vasicek credit portfolio model. First, the authors analytically approximate standard errors for value-at-risk and expected shortfall based on the standard errors of intra-cohort…
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
Q&A: Ryozo Himino on Basel’s RWA probe and the need for minimum standards
The Basel Committee’s newly formed standards implementation group is charged with monitoring how banks are adhering to the requirements of the Basel III accord. The chair of the group, Ryozo Himino, talks to Nick Sawyer about consistency with Basel…
Q&A: Ryozo Himino on Basel's RWA probe and the need for minimum standards
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair of the group, about the monitoring of timelines, consistency with Basel minimums and the investigation…
Need for speed: banks explore FPGAs for portfolio modelling
It can take hours for traditional bank systems to run portfolio risk models. That’s too slow for some banks, which are now exploring unwieldy – but quick – field-programmable gate arrays. By Clive Davidson
Cutting edge introduction
Copula functions that provide a way of splicing the probability distributions of multiple assets together have taken a lot of flak since the crisis. Laurie Carver introduces this month’s technical articles by looking at the fate of such methods – and a…
CPM functions go back to basics
The crisis has made it more difficult for credit portfolio management desks to manage loan portfolios by transferring risk. Instead, there’s a growing focus on old-fashioned virtues. Mark Pengelly reports
BAML's Lipton: discrete models essential to cut CVA computation costs – Video
Top quant says a CVA model that is 80% accurate but takes 20% of the time is "very attractive"
RBS expands CVA quant team
RBS adds former Barclays Capital and Lehman quant to help build firm-wide CVA model
An analytical framework for credit portfolio risk measures
Monte Carlo simulation of credit-risky portfolios can be computationally intensive when calculating risk measures. Here, Mikhail Voropaev builds an analytical framework for calculating value-at-risk and expected shortfall for these portfolios that…
Sponsored statement: Capitects
Finding the optimal portfolio is the ultimate goal of each investor, and the most recent developments in portfolio modelling have shown that the fundamentals of this task need to be revised. The innovative approach presented here allows comparing…
Name concentration correction
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive…
Name concentration correction
Jasper Hommels and Viktor Tchistiakov describe the implementation of a simple analytical framework for the name concentration measurement that occurs in a credit portfolio due to imperfect diversification of idiosyncratic risk. The result is an intuitive…