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The relevance of the yield curve

12 Nov 2019
Zaid Siddiqi

financial institutions interest rate risk model validation rating advisory risk advisory asset managers risk advisory banks risk advisory insurers risk management valuation desk

Creating a future stress scenario for the yield curve is not easily done. Above all, it is something that has to be done carefully, because it can have negative repercussions for a financial institution.

Are more complex models always better?

14 Jun 2019
Zaid Siddiqi

artificial intelligence financial institutions interest rate risk model validation rating advisory risk advisory asset managers risk advisory banks risk advisory insurers risk management valuation desk

A part of the curriculum of the Econometrics & Mathematical Economics master’s degree given in the VU University Amsterdam is the course Time Series Econometrics. In this course, students are taught how to analyze time series with the aid of ‘state-space models’, on the assumption that observations over time (such as the content of the Nile, for example) are driven by non-observed factors.

The corporate road to credit portfolio management

9 Feb 2015
Evert de Vries

corporates credit risk EAGLE financial institutions fx risk interest rate risk public sector rating advisory ratings risk advisory asset managers risk modeling supply chain finance treasury accounting reporting

According to Intrum Justitia, bad debts of more than € 350 billion were written off in Europe in 2013, which is around three percent of all outstanding transactions. Internal research into Dutch companies with debtor portfolios in excess of € 250 million reveals that some companies have had to write off up to 10 percent of their net result on their customers. According to some estimates, around 25 percent of companies actually go bankrupt due to bad debt losses alone. It is with good reason that many annual reports state that credit risks are often the biggest threat to business continuity. In this article, we explain our approach to credit risk management for corporates.

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The relevance of the yield curve

Are more complex models always better?

The corporate road to credit portfolio management

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