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Category: Risk Methods

June 2022

Risk Analysis for Securitisation Portfolios

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November 2021

Risk Transfer for Multilateral Development Banks: Obstacles and Potential

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August 2020

Covid-19 Credit Market Dashboard

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April 2020

Predicting Default for UK SMEs Using Companies House Data

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July 2019

Top-down and Performance-based SME Probabilities of Default

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September 2018

Implementation of SEC-IRBA by European Banks

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July 2017

Capital and Risk in Bancassurance Organisations

London Skyline: Gherkin and other buildings
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July 2017

Rating Correlations and Macro Stress Testing

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July 2016

Solvency II Capital Calibration for Securitisations

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July 2016

Multilateral Development Bank Ratings and Preferred Creditor Status

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May 2016

Scenario-based RORC Optimisation for a Bank Loan Book

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February 2016

Top Down Stress Testing for Bank Financial Statements: A Case Study

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May 2015

Comparing Bank Risk Measures

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February 2015

Case Study on Stress Testing for an Asset Manager-Private Bank

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February 2015

Comment on Antoniades and Tarashev

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December 2014

AFA Capital – An Introduction

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August 2014

Case Study on Consistent Scenario Expansion

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June 2014

Case Study on Banking System Stress Testing

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September 2013

Granularity, Heterogeneity and Securitisation Capital

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September 2013

Maturity Effects in Securitisation Capital: Total Capital Levels and Dispersion Across Tranches

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April 2013

A Principles-Based Approach to Regulatory Capital for Securitisations

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November 2012

Top Down Stress Testing for Bank Financial Statements: A Case Study

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September 2010

Bank Liquidity Standards: A Microeconomic Analysis

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May 2008

Determinants of Asset-Backed Security Prices in Crisis Periods

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May 2008

Dynamic Default Rates

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March 2008

Dynamic Pricing of Synthetic Collateralized Debt Obligations

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September 2007

Ratings-Based Pricing and Stochastic Spreads 

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February 2006

The Dependence of Recovery Rates and Defaults 

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December 2005

Hedging and Asset Allocation for Structured Products 

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June 2004

Capital for Structured Products 

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January 2002

The Estimation of Transition Matrices for Sovereign Credit Ratings 

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February 2000

Estimating Volatility for Long Holding Periods 

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