Financial institutions face many challenges due to recent Basel III-related changes in the area of counterparty exposure measurement and management. In response to these challenges, SAS delivers an integrated risk offering – SAS® Risk Management for Banking – that can meet the immediate...

Understanding and quantifying the model risk inherent in loss projection models used in the macroeconomic stress testing and impairment estimation is of significant concern for both banks and regulators. The application of relative entropy techniques allow model misspecification robustness to be...

In this paper we discuss practices for fair value estimation of banking book items. While fair value principles are not new they have gained in importance recently with new accounting regulations (e.g., IFRS 9) and banks are also considering market best practices to disclose banking book...

In this paper we provide an overview of the credit model approaches for lifetime impairment models. The main focus is on the models for credit risk term-structures which are a particularly important component that banks are currently struggling with. However, we also discuss briefly the...

Purpose The game strategies differ when different regions participate in the oil game. Under what circumstances will different participants choose cooperation or sanction strategies? This is the core issue of this paper. Design/methodology/approach Regarding the current and future game behavior...