PRMIA: low probability default modeling using neural nets

January 6, 2019

Quant Foundry execs Chris Cormack and David Kelly elaborate on a methodology for low probability default modeling using a neural network approach in a recent issue of Intelligent Risk, a publication…

The Basel Committee works to figure out sovereign risk on bank balance sheets

December 20, 2017

Jonathan Cooper

Basel III, Liquidity Management, Risk Management

Basel Committee, sovereign risk, topstory

No Comments

Sovereign risk has proven to be a double edged sword. How much risk is there really, and should sovereign debt be included at face value in the Leverage Ratio? Or…

Measuring risk in the sovereign debt market: A Fed paper balances idealism vs. practicality

July 20, 2016

Richard Stinchfield

Basel III, Collateral Management, Europe, Federal Reserve, Regulatory, Risk Management, Securities Lending, Systemic Risk

Federal Reserve, Market Risk, sovereign debt;, sovereign risk, topstory

No Comments

Securities Finance and other forms of OTC derivatives have always had the effect of shifting and “rehypothecating” collateral and credit risk between the parties to the transaction. Some activities, like…

A Serious Conversation About Sovereigns Posting Collateral, At Last

December 16, 2011

Josh Galper

Collateral Management, OTC Derivatives Clearing, Regulatory

collateral management, OTC derivatives, sovereign risk

No Comments

Emerging from behind the smokescreen of “sovereigns have no risk,” the OECD is promoting the idea that governments and government agencies should debate posting collateral for their OTC derivatives like…

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sovereign risk

PRMIA: low probability default modeling using neural nets

The Basel Committee works to figure out sovereign risk on bank balance sheets

Measuring risk in the sovereign debt market: A Fed paper balances idealism vs. practicality

A Serious Conversation About Sovereigns Posting Collateral, At Last

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