The intent of this paper is to analyse how model risk management requirements change the banks’ view on their models, especially regarding the quantification of associated risks, and to introduce a new framework methodology.
This Fitch Ratings white paper examines a portfolio of ‘BBB’ category corporate issuers in the U.S. and Europe in the context of differences in the composition and concentration of ‘BBB’ issuance; transition and default (T&D) patterns in past economic downturns; and issuers’ current leverage and…
This white paper explores a range of XVA topics, including the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
This white paper aims to understand whether and how banks are approaching the assessment of their Credit Spread Risk in the Banking Book (CSRBB), and to identify best practices in preparation for compliance.
Is your institution going to be part of the final two phase-ins of initial margin (IM) rules for non-cleared derivatives? Download this white paper to become aware of the significant challenges OTC derivatives market participants will face.
This paper introduces a different recovery forecasting methodology for LGD (loss given default) parameter and explores stochastic forecasting with details of how to calibrate the model.
In Part I of this white paper series examining the dynamics and future of front office risk technology, Numerix Chief Strategy Officer and SVP of Client Services, Satyam Kancharla delivers an expert view on these drivers of change and their implications for the current and future state of the…
This white paper assesses the scale of the collateral management challenge and considers how firms can best prepare for the future by building greater flexibility around collateral management systems and processes.
This white paper examines why hedge funds in the credit space frequently end up with a patchwork of infrastructure that is expensive to maintain and difficult to scale; and how funds can overcome these issues with a more holistic and modular approach.
This XVA forum features a panel of industry leaders assessing the major factors driving XVA adoption today.