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Blogger Choice – Estimating Probability of Default for Low Default Portfolios April 12, 2007

Posted by riskopedia in Basel II, Model, PD, Retail Risk, Risk Management.
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If you are or have been doing modelling for Basel II, most likely you will come across one or more portfolios with low number of default, probably due to the limited historical modelling dataset in a beign economy environment. (more…)

Blogger Choice – Research Papers April 12, 2007

Posted by riskopedia in Basel II, EAD, LGD, Model, Of interest, PD, Retail Risk, Risk Management, Stress test, Stress Testing.
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I actually really like this site when there are alot of valuable risk methodology papers. From Pricing, Models, Credit scoring etc.

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Blogger Choice – Basel II Stress Testing April 1, 2007

Posted by riskopedia in Basel II, EAD, LGD, Model, Of interest, PD, Regulator, Retail Risk, Risk Management, Stress test, Stress Testing.
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A good intro to Basel II Stress testing and has an example being illustrated:

http://www.findarticles.com/p/articles/mi_m0ITW/is_1_86/ai_n14897369

Compliance or Strategic?? March 23, 2007

Posted by riskopedia in Basel II, Model, Of interest, Regulator, Retail Risk, Risk Management, Uncategorized.
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It is not that far away to the date of Basel II implementation. Most banks would be on their final hurdle, well, at least for Pillar 1.

Up until now, firms who were planned to be beyond standardized, have spent millions. With lot of projects start winding up. One question has floated to the surface, which somehow, did not have a clear answer back then.

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Blogger Choice – Basel Model Behaviour March 20, 2007

Posted by riskopedia in Basel II, EAD, LGD, Model, PD, Regulator, Retail Risk, Risk Management.
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“The Basel II Accord could be the biggest risk management project ever undertaken by Australia’s banks. Stuart Fagg investigates and discovers that better risk modelling is just one part of the jigsaw Basel has nearly come of age. “

http://www.riskmanagementmagazine.com.au/articles/FE/0C0400FE.asp?Type=124&Category=1240