Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Banks neglecting necessary work on data and model governance, warn tech vendors
Move to expected loss impairment regime brings major challenges, say banks and accountants
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
As defaults rise, firms step up sophistication of counterparty assessments
This September issue includes: counting processes for retail default modelling; an ensemble approach for asset correlations; an analytic framework for credit portfolio modelling; and an analysis of credit default swap premiums.
The article discusses the use of counting processes for retail (mortgage) default modeling.
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Volume 16, Issue 5 (2014)
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Don’t say we didn’t warn you
Stress testing with fully flexible causal inputs