Chappuis Halder & Co
Chappuis Halder Global Research and Analytics expertise centre covers a wide range of interventions on risk management topics and provides clients with solutions that are tailored to their specific needs and risk profiles. Arising from recent regulatory evolutions and from discussions with industry leaders, our white papers focus mainly on risk modelling issues. We cover all types of risks, ranging from credit risk to market risk or operational risk.
We note that risk modelling-focused publications have mostly disappeared from the consulting industry in recent years. In this context, our white papers are aiming to share our ideas broadly, as well as to restore the visibility of risk modelling in our industry.
All content by Chappuis Halder & Co
Dynamic Stress Test Diffusion Model Considering the Credit Score Performance
This white paper proposes a methodology that diffuses dynamically the stress on the credit rating scale while considering the performance of the credit score. Consequently, the aim is to more accurately reflect the impact of the stress on the portfolio by taking into account the purity of the score…