• 8/07/2014

    Optimization of Post-Scoring Classification and Impact on Regulatory Capital for Low Default Portfolios

    With new stringent regulatory requirements and substantial pressure to increase their ROE, banks are facing emerging challenges in the processing of Low Default Portfolios.This paper analyzes the opportunity to build a rating scale for LDPs, as well as identifies the possibilities to optimize RWA, by studying the correlation between the number of classes within a rating scale and the impact on RWA.

    Read more
  • 7/04/2014

    GRA Booklet - 2013-2014 - First Edition

    Read more
  • 27/01/2014

    Value-at-Risk in Turbulence Time (Février 2014) by Benoît GENEST & Zhili CAO

    Read more
  • 23/08/2013

    Collateral Optimization – Liquidity & Funding Value Adjustments, Best Practices (Août 2013) by David REGO & Hélène FREON

    Read more
  • 16/04/2013

    CVA Capital Charge under Basel III standardized approach (Avril 2013) by Benoît GENEST & Ziad FARES

    Read more
  • 19/03/2013

    GRA Pricer - 2013 - Valuation & Pricing Solutions by David REGO supported by Benoît GENEST and Ziad FARES

    Read more
  • 20/02/2013

    Basel II IRB Risk Weight Functions (Février 2013) by Benoît GENEST & Léonard BRIE

    Read more
  • Pages

    Follow us