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.add a comment
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.add a comment
I actually really like this site when there are alot of valuable risk methodology papers. From Pricing, Models, Credit scoring etc.
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.1 comment so far
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.2 comments
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.
Blogger Choice – Basel Model Behaviour March 20, 2007
Posted by riskopedia in Basel II, EAD, LGD, Model, PD, Regulator, Retail Risk, Risk Management.1 comment so far
“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
Blogger Choice – Basel II and Australian’s banks March 20, 2007
Posted by riskopedia in Basel II, Of interest, Retail Risk, Risk Management.add a comment
A summary of PWC view on Australian’s banks in Basel II (back in 2005, it will be quite different now, we believed)
www.pwc.com/extweb/industry.nsf/docid/58CDB6C38500D8FE85256760001DE90C/$file/Basel_II.pdf
Constant Proportion Debt Obligation (CPDO) March 17, 2007
Posted by riskopedia in Basel II, Economy, Of interest, Retail Risk, Risk Management.12 comments
This is a new product when introduced sometime around last year (2006). Here is a presentation by ABN AMRO, cpdo.pdf
Through the Cycle – PD Scalar March 16, 2007
Posted by riskopedia in Basel II, Economy, PD, Regulator, Retail Risk, Risk Management, scorecard.6 comments
For Basel modellers, a common problem is a relatively short period of data. In most firms, they might not even able to get up to 5 years worth of data. Hence, the PD models would normally reflecting a Point in time (PIT) estimate or a Short run cycle (SRC) estimate.
Now, its nothing wrong having a PIT estimate. It is really up to the Bank’s senior management to decide if they want:
Sub-prime mortgage March 12, 2007
Posted by riskopedia in Economy, Regulator, Retail Risk, Risk Management.3 comments
HSBC has annouced its financial results last week (5/3/2007), indicating a profit warning due to its US lending units, one third of the group’s total earnings, that risk management and other controls are not meeting the expectations of with the group’s overall direction. The “specific” unit which Stephen green, chairman of HSBC holdings, was referring to the US mortgage business, which profit has substantially dropped due to the unexpected increase in delinquency in the sub-prime mortgage area. I am not going into too much details of what has already been announced, you can read them in http://www.hsbc.com/hsbc/news_room/news/news-archive-2007?cp=/public/groupsite/news_room/2007_archive/hsbc_holdings_plc_2006_annual_results.jhtml&isPc=true
or google it.
Anyway, reason I raised this topic, along side from the above, here are couple of articles I have read today: (more…)
NZ OCR has raised 25 basis point to 7.5% March 8, 2007
Posted by riskopedia in Basel II, Economy, LGD, Regulator, Retail Risk.1 comment so far
The New Zealand Reserve bank has raised the Official Cash rate (OCR), which is used as a tool to control the monetary policy, by 25 basis point to 7.5% this morning. You can refer to http://www.nzherald.co.nz/section/3/story.cfm?c_id=3&objectid=10427700, as well as http://www.rbnz.govt.nz/news/2007/2960402.html
I am not going to analysis in any more depth or facts whether Alan Bollard should increase the long lasted rate to 7.5%. There are already enough commentators and news out there who will do this job.
What interested me is the one thing I have picked up from the article:
Riskopedia 