In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
Default risk for group of UK corporates has risen 11% over the past year
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Loans with low loss given defaults now considered impaired, lenders complain
Sponsored by Oracle, Moody's Analytics and AxiomSL
The authors of this paper address some issues to do with IFRS 9 and explain how to determine if an instrument has suffered serious deterioration in credit risk.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
Improving credit risk modelling assumptions could soften Basel's push for input floors
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Biggest share of bank capital at stake as regulators take aim at credit models
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
Bank’s new methodology has been used by some rivals for more than a decade
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
Regulators argue a backstop is needed to avoid too-low modelled numbers