Presentation to Securities Analysts of San Francisco and Global Association of Risk Professionals, San Francisco, CA …

value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR …

The asymptotic single risk factor (ASRF) approach is a simplified framework for determining regulatory capital charges … for credit risk and has become an integral part of how credit risk capital requirements are to be determined under the … measured by the book value of assets by imposing the ASRF approach within the KMV methodology for determining credit risk …

value-at-risk (VaR) framework, the relative performance of the covariance matrix forecasts depends greatly on the VaR …