Internal LGD Estimation in Practice

Driven by a competitive market and motivated by the new Basel Capital Accord (Basel II), banks have put a lot of effort into development and improvement of their methods to assess the  creditworthiness of their […]


Product Risk Classification

What is the PRC? The product risk classification (PRC) is a risk indicator that is based on quantitative models. It allows us to compare the financial risk of investment products of different kinds and asset […]

Wilmott Inner Circle

You Can’t Always Get What You Want – Estimating the Value at Risk from Historical Data with Limited Statistics – Björn Naundorf, Jörg Raufeisen, Christoph Bennemann & Frederik Herzberg

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