A number of recent advances through the implementation of BCBS239 combined with a re-launch of methodology and technology enables organizations to replace human designed rule-based monitoring into a purely data driven and steadily improving system. Especially in the area of credit risk management, characterizing statistical dependence and correlation in high dimensions, constructing effective and robust risk measures, and using these notions of risk in portfolio optimization and rebalancing through the lens of convex optimization a broad range of synergies have been freed up through BCBS239.

The article by our Credit Risk Expert Elias Loki has been published in the magazine "Intelligent Risk" in April 2019 and can be downloaded below.

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