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Training course by the Florence School of Banking and Finance (http://fbf.eui.eu/)

Course Instructor: Jean Dermine (Insead)
Area: Risk Management
Level: Intermediate

This course will focus on the following topics:
- Probability of Default (PD) calibration and validation
- Loss Given Default (LGD) – What do we know about LGDs?
- Discount rate in LGDs.
- Regulatory updates regarding LGDs.
- Value-at-Risk.

This course is targeted at Financial stability and research department of Central Banks, Ph. D. students, private sector economists, EU officials.

More information: http://fbf.eui.eu/credit-market-risk-management/

Jon Danielsson, 28 November 2013

Basel III is coming into focus. The fundamental logic of the regulatory changes seems sensible, but the devil is in the detail – empirical implementation. This column discusses a detailed quantitative study, incorporating analytical calculations, Monte Carlo simulations and results from observed data. It concludes that the Basel Committee has taken three and a half steps backwards and half a step forward. If implemented, the framework is likely to lead to less robust risk forecasts than current methodologies.

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