Conference Papers

Modelling operational risk using extreme value theory and skew t-copulas

Presenter(s): Betty Johanna Garzon Rozo; Jonathan Crook; Fernando Moreira

Year of presentation: 2015

Affiliate institution: The University of Edinburgh

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Conference Papers

Should we throw away the variance of the score estimates?

Presenter(s): Mark Surdutovich; Genaro Dueire Lins

Year of presentation: 2015

Affiliate institution: Itaú Unibanco

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Conference Papers

Analytical solutions to multi-period credit portfolio management: a macroeconomic approach

Presenter(s): Juan M. Licari; Gustavo Ordóñez-Sanz

Year of presentation: 2015

Affiliate institution: Moody's

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Conference Papers

‘Downturn’ estimates for Basel credit risk metrics

Presenter(s): Eric McVittie

Year of presentation: 2015

Affiliate institution: Experian

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Conference Papers

Spatial regression models for SMEs

Presenter(s): Raffaella Calabrese; Galina Andreeva; Jake Ansell

Year of presentation: 2015

Affiliate institution: University of Essex; The University of Edinburgh

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Conference Papers

Crisis and LGD: developing a model for the retail portfolio

Presenter(s): Konstantinos Papalamprou; Paschalis Antoniou; Apostolos Doukas

Year of presentation: 2015

Affiliate institution: National Bank of Greece; Aristotle University of Thessaloniki

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Conference Papers

Fitting a distribution to Value-at-Risk and Expected Shortfall, with an application to covered bonds

Presenter(s): Dirk Tasche

Year of presentation: 2015

Affiliate institution: Bank of England

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Conference Papers

Credit risk evaluation for loan guarantee chain in China

Presenter(s): Xinhai Liu; Xiangfeng Meng

Year of presentation: 2015

Affiliate institution: People's Bank of China; Peking University

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Conference Papers

Cyber analytics: streaming transaction analytics to identify malevolent cyber intrusions

Presenter(s): Jehan Athwal; Matthew Kennel; Scott Zoldi

Year of presentation: 2015

Affiliate institution: FICO

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Conference Papers

Fraud in e-commerce: an approach with social network analysis

Presenter(s): Thaine Souza

Year of presentation: 2015

Affiliate institution: Experian

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