This paper compares methods for computing the distribution of loss from defaults in a credit portfolio. The methods are applied in the Gaussian copula framework for credit risk and take advantage of ...
This paper develops an analytical form of stressed value-at-risk (analytical SVaR), one of the most important changes implemented by Basel II, using conditional value-at-risk (CoVaR). We also validate ...
A report last November by the Solicitors Regulation Authority specifically addressing compliance issues in relation to cloud computing is evidence of how significant this technology has become, says ...
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