Global Research & Analytics

Global Research & Analytics

White paper on Model Risk Management: How to measure and quantify model risk?

News and views
5 December 2019

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level, with different types of assumptions.

Global Research & Analytics

White paper on Model Risk Management: How to measure and quantify model risk?

News and views
5 December 2019

The aim of this paper is to present model risk situations and a methodology to measure and quantify the associated risk at model level.

Global Research & Analytics

Global Research Analytics Booklet “Risk & modelling” – Third Edition

News and views
15 July 2019

After seven years of existence, the GRA team continues to explore the issues of risk quantification. This third booklet still demonstrates the perseverance of the GRA work and reflects ...

Global Research & Analytics

Global Research Analytics Booklet “Risk & modelling” – Third Edition

News and views
15 July 2019

After seven years of existence, the GRA team continues to explore the issues of risk quantification. This third booklet still demonstrates the perseverance of the GRA work and reflects ...

Global Research & Analytics

Counterparty Credit Risk : Evolution of the standardised approach to determine the EAD of counterparties

News and views
12 June 2019

This article focuses on the revised standardised methodology (SA-CCR) introduced by the regulator to compute the Exposure of derivatives for Counterparty Credit Risk management.

Global Research & Analytics

1st White Paper of 2019 by Global Research Analytics (GRA)

News and views
27 May 2019

“Stochastic modelling of the loss given default (LGD) for non-defaulted assets”