Global Research Analytics Booklet "Risk & modelling" - Third Edition

Global Research & Analytics

Global Research Analytics Booklet "Risk & modelling" - Third Edition

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 the numerous questions the team faces daily.

 

Summary :

-Back-testing of Expected Shortfall: Main challenges and methodologies

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

-Cat bonds & Artificial Neural Networks | An example of reinsurance products’ pricing using machine learning methods

-Comments on the “Standardised Measurement Approach for operational risk–Consultative Document”

-Can bitcoin’s price be forecasted like any other asset?

Published by B. Genest

Article Global Research & Analytics - Global Research Analytics Booklet “Risk & modelling” – Third Edition - 15 July 2019

In this article : Risk Modelling GRA

Latest articles

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
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.

More related contents