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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
Oil derricks
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September 2018

Implementation of SEC-IRBA by European Banks
Houses
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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
Oil derricks
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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
oil platform bridge
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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
New York Stock Exchange, Wall St.
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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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