High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
European regulators embrace external data for internal modelling of credit risk capital
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Draft directive offers national regulators power to override controversial exemption
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Dealers adapt capital models for new accounting standard, but shortcut has challenges
Rising default rates could trigger a stampede out of the market
This paper focuses on the corporate stress testing models for credit risk.
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing.
Proposal to harmonise rules on debt stays and holdout creditors touches on sensitive issues
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
This paper focuses on the ability of accounting ratios to predict the financial distress status of a firm as defined by the law.
Jonas Hirz, Uwe Schmock and Pavel Shevchenko present a summary of actuarial applications of the extended CreditRisk+ model
Barker, Dickinson, Lipton and Virmani propose a credit and liquidity risk model for CCPs
Combinations of models produce better NPL estimates in study of Greek crisis
Sponsored webinar: Moody's Analytics and Qlik
This paper explores the aggregation of different single ratings to a ‘consensus rating’ to get a higher precision of a debtor’s default probability. It builds upon the methodology published by Grün et al, 2013 and Lehmann and Tillich, 2016.
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Huge losses from the 2008 crisis can be seen as a short option position
This paper assesses the predictive ability of financial and nonfinancial variables for a long horizon in a large cross-sectional sample of Finnish firms
Sponsored by Oracle, Moody's Analytics and AxiomSL
Self-taught technology could push humans aside from some – or all – of the underwriting process