Impact studies showing significant capital increase prompted committee rethink
Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits
This paper introduces a model which enables lenders to develop specific policies for credit granting by predicting the solvency and insolvency rates of their corporate clients.
Sponsored content: SAS
Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default
This study investigates two well-established ensemble learning methods: Stochastic Gradient Boosting and Random Forest, and proposed two new ensembles.
Political and prudential risks in huge bond-holdings force experts to consider new ideas
This paper analyzes the validity of using the loan-to-value (LTV) ratio to explain the behavior of mortgage borrowers at an empirical level.
Sponsored survey analysis: Oracle Financial Services
Sponsored webinar: Moody's Analytics
Collapse in sterling expected to see in-flight deals renegotiated
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Fewer models and higher capital requirements seen as likely outcomes of SSM review
Resilience of hard-hit regional lenders scrutinised as losses mount
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Banks neglecting necessary work on data and model governance, warn tech vendors
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue