Modelling credit risk is a challenge for any financial institution and in particular any bank need a structured approach to the quantification and management of credit risk. In this paper we intend to describe, as clearly as possible, the structures and models involved. Our point of view is that...

In this paper we develop a multi-period and multi-state portfolio credit risk model which is applicable to large dimensional portfolios like for example retail and mortgage portfolios. The model includes a methodology for estimation and simulation of systematic transition risk through a model...

The financial crisis at the end of last decade has called for a comprehensive liquidity risk management framework. The challenge not only lies in finding appropriate liquidity risk measures but more importantly how to apply these measures to implement a risk based liquidity management. A core...

Portfolio risk measures such as Value at Risk is traditionally measured using a buy and hold assumption on the portfolio. In particular the 10-day market risk capital is commonly measured as the 1-day Value at Risk scaled by the square root of 10. While this scaling is convenient to obtain n-day...

Risk management for banks involves risk measurement and risk control at the individual risk level, including market risk for trading books, credit risk for trading and banking books, operational risks and aggregate risk management. In many banks, aggregate risk is defined using a rollup or risk...

With the focus on multi-horizon macroeconomic credit loss projection models in stress testing and impairments it is of interest to understand how different model assumptions can impact the projection under stressed and best estimate economic projections. In this paper we focus on the popular...

Intro -- Series page -- Title Page -- Copyright -- Table of Contents -- Preface -- About this book -- Whom is this book for? -- Outline of the book -- Acknowledgments -- Chapter 1: Introduction -- Banks and Risk Management -- Evolution of Bank Capital Regulation -- Creating Value from Risk...