credit correlation

Basel III Highlights Counterparty Risk

Monday, December 31, 2012

The new Basel III capital accord, a global regulatory standard for bank capital adequacy which kicks in from January 1, presents daunting challenges in the form of managing counterparty default risk.... read more

Correlation Capital Calculations see Quant Costs spiral

Wednesday, December 1, 2010


The huge technological demands of calculating capital charges on credit correlation trading portfolios are leading to spiraling costs and heavy time commitments for risk managers, say bankers in London and New York. Systems to calculate a "comprehensive risk measure" for capital charges against securitisations held on the trading book can require so-called CPU farms of up to 25,000 computer processors running beta-tests of six hours or more, sources say.... read more

DerivSource Q&A on base correlation calibration

Monday, May 12, 2008

Quantifi's Rohan Douglas explains how its new enhancements can help... read more