This paper presents a new default risk model for market risk that is consistent with the requirements put forward by the Fundamental Review of the Trading Book. In particular, the model features correlated default times and stochastic recovery rates by exploiting the observed correlation between...

Market-implied ratings gained importance as efficient early warnings of official credit rating migrations. We build a two-dimensional implied rating system that gathers information from both the bond and the CDS markets. The system is able to outdo each of the corresponding one-dimensional...

On 3 December EY hosted a SUERF conference on banking reform with Sir Howard Davies, the Chairman of RBS, and Dame Colette Bowe, the Chairman of the Banking Standards Board, as the two keynote speakers. Professor David Miles (Imperial College) gave the SUERF 2015 Annual Lecture on Capital and...

Hull White approach to Wrong Way Risk in the computation of the Credit Value Adjustment is considered the most straightforward generalization of the standard Basel approach. The model is financially intuitive and it can be implemented by a slight modification of existing algorithms for CVA...