Increased funding options welcomed in the face of a potential spike in Australia consumer credit growth
Insurers are seeking greater granularity of data in modelling to help them assess credit risks more accurately. But increased granularity could lead to greater complexity in modelling, which might be more...
Insurance Risk and BNY Mellon have conducted a survey to look at how insurance companies are preparing for the new regime and the opportunities and challenges that the changes will bring.
More Credit risk articles
The existence of multiple rule books may deter issuers and investors in securitisation
Derivatives dealers are starting to voluntarily post initial margin to each other, in an attempt to reduce the capital they hold for derivatives counterparty risk. The savings can be significant, but some observers are worried about the liquidity of the...
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually...
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing...
It is a well-known fact that recovery rates tend to decrease when the number of defaults increases during economic downturns. We demonstrate how the loss given default model with the default and recovery dependent via the latent systematic risk factor...
Models evaluating credit applicants rely on payment performance data, which is only available for accepted applicants. This sampling limitation could lead to biased parameter estimates. We use a nationally representative sample of credit bureau records...
This paper presents a framework in which many structural credit risk models can be made hybrid by randomizing the default trigger while keeping the capital structure intact. This produces random recovery rates negatively correlated with the default probability....
This paper discusses a number of diverse considerations that risk managers need to incorporate into their thought processes and recurring procedures if they are to fulfill their role more effectively in the future
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