Jon Danielsson, 03 July 2018

Jon Danielsson, 01 June 2018

Jon Danielsson, 30 May 2018

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Is Credit Risk modeling dead after the recent financial crisis? Should banks follow pre-define rules for calculating credit-risk related capital requirements (also denominated “standardized approach”) instead of using tailor-made credit risk models (“Advanced Internal Rating-Based approach”)? In order to answer these questions, it is important to have a clear understanding of the benchmark techniques currently in use by the financial industry (in particular, the assumptions over which they are based and their limitations). This course aims to provide a first step on that direction.

This is an introductory course on Credit Risk. As such, it will cover some of the benchmark approaches for estimating the key AIRB parameters (PD, LGD and EAD). It will also discuss the regulatory requirements related to each of them. Some of these approaches will be implemented using the software R.

Jon Danielsson, Chen Zhou, 25 April 2015

Regulators and financial institutions increasingly depend on statistical risk forecasting. This column argues that most risk modelling approaches are highly inaccurate and confidence intervals should be provided along with point estimates. Two major approaches, value-at-risk and expected shortfall are compared, and while the former is found to be superior in practice, it is also easier to be manipulated by forecasters. 

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