Stochastic and Deterministic LGD Loss Given Default Models are different.
Many bankers are unable to understand the different mathematical assumptions that can make the computations.
That is a big risk per se!
@BIS_org
#model #Risk #Validation #Creditrisk #FRM
#MachineLearning
Many bankers are unable to understand the different mathematical assumptions that can make the computations.
That is a big risk per se!
@BIS_org
#model #Risk #Validation #Creditrisk #FRM
#MachineLearning
What is a hazard rate assumption?
How can credit risk be modelled using hazard rates?
This is beyond an average #banker.
Most primal bankers only understood the 5 or later the 7Cs of credit.
Accounting, cashflows, creating a charge on assets, foreclosure, special asset mgmt, etc
How can credit risk be modelled using hazard rates?
This is beyond an average #banker.
Most primal bankers only understood the 5 or later the 7Cs of credit.
Accounting, cashflows, creating a charge on assets, foreclosure, special asset mgmt, etc
Actually, Quantitative Risk Management has not helped at all, in my opinion.
Blindly applying maths and statistics has made decision-making worst.
Banking was about relationship mgmt, business model analysis, accounting trickeries, branch operations, etc
Now it's like a lab work
Blindly applying maths and statistics has made decision-making worst.
Banking was about relationship mgmt, business model analysis, accounting trickeries, branch operations, etc
Now it's like a lab work
And, yes, Treasury Dealing is not banking!!
Sorry, If I have infuriated anyone by tweeting this.
Dealers are not bankers.
They can be the most annoying people to work with, telephone operators at best, who watch rates on large flat screens.
Sorry, If I have infuriated anyone by tweeting this.
Dealers are not bankers.
They can be the most annoying people to work with, telephone operators at best, who watch rates on large flat screens.
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