Residential Mortgage Modeling

| Research | No Comments

Credit risk analysis is complex because data is always scarce and not fully representative of the future. Therefore no single data set will suffice and multiple sources of information (varying…

Webinar – Modeling ABS using Loan Level Data from ED

| Research | No Comments

In this webinar Burkhard Heppe walks through how using OSIS tools, combined with European DataWarehouse Loan Level Data, can be used to model ABS/MBS.  

Dynamic analysis of SME securitization tranches

| Research | No Comments

Abstract We investigate the credit risk of tranches linked to the performance of large pools of loans to small and medium size companies. We aim at identifying the key risk…

Paper by Burkhard Heppe about the level playing field during the EU wide stress test 2014

| Asset Quality Review & Stress Testing, News, Research | No Comments

By reverse engineering the stress test models used in he EU Wide Stress Test 2014, we could compare the used sensitivities between countries. The were many differences but were they…

Top down stress testing of US residential mortgages

| Research | No Comments

Abstract We design and analyze a model for aggregate performance measures of US residential mortgages based on publicly available information. The objective is to implement a top down stress testing…

Top Down Robustness Check of the 2014 EBA Stress Test

| Research | No Comments

Complementary Online Stress Test Analytics OSIS provides credit data validation, visualization and modeling tools and services. An interactive analysis of the 2014 EU-wide stress test results from EBA (EBA ST)…

The Learning Basel Formula: decreasing uncertainty by consistently using bank performance data

| Bank Regulatory Capital vs Economic Capital, Research | No Comments

In the debate on regulatory capital many people talk about capital increase, a few talk about facts. In this article we looked at a large set of historical default data…

5 steps to get to a good understanding about a banks credit risk

| General, News, Research | No Comments

There is much quality difference between banks pillar 3 reports and many publishing banks ignore important CRD rules. In order to help bank analysts to interpret pillar 3 reports and…