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EAD Parameter: A stochastic way to model the Credit Conversion Factor
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification…
Model Risk Management for a Trading Firm’s Calculations - A Data Centric View of Model Risk Management
This white paper appraises four pieces of regulation that directly address the management of risk within models. It further gives an overview of the importance of data lineage in a modeling ecosystem and provides background to some key data lineage concepts.
Digital Risk Report 2nd Edition
This Risk Report offers important global perspectives from 1,050 organisations on the state of digital risk including top risk management priorities, the changes being implemented to manage risk today and drivers for future investment.
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