FRTB: Default risk modelling

FRTB: Default risk modelling

Mirela Predescu, Deputy Head, Credit and Repo – Market and Counterparty Risk Methods and Analytics at BNP Paribas, releases her accompanying presentation documents of which she presented on at the Fundamental Review of the Trading Book Summit in April 2016. Here, Mirela discusses:

  • From Basel 2.5 to FRTB
    • Basel 2.5: A reminder
    • Basel 2.5 Lessons learnt
    • FRTB: Default risk modelling under IMA
  • A default risk model complaint framework
    • Marginal default risk
    • Default correlations
    • LGD
  • Default risk modelling analysis
    • Example portfolios
    • Comparison to standardise approach for default risk charge
    • Convergence analysis
    • Sensitivity analysis

Please provide the following details to download your copy of “FRTB: Default risk modelling”

Please select the areas that you wish to be kept updated on…
Region *

If the contact number field does not work please leave this blank.








//]]>