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
The simple link from default to LGD