The Basel New Accord which is being implemented throughout the banking world on 1 January 2007 has made a significant difference to the use of modelling within financial organisat...
In order to manage model risk, financial institutions need to set up validation processes so as to monitor the quality of the models on an ongoing basis. Validation can be conside...
G. Castermans, David Martens, Tony Van Gestel, B. ...
Monte Carlo simulation is a common method for studying the volatility of market traded instruments. It is less employed in retail lending, because of the inherent nonlinearities in...