Bernd Engelmann works as a researcher in the Finance and Banking department of Ho Chi Minh City Open University. Aside from this, he is a trainer and consultant in financial risk management. His focus is on credit risk, where he has completed projects for clients in Europe and South-East Asia in developing credit risk models for various purposes (Basel, IFRS 9, stress tests), building loan valuation and performance measurement systems, and implementing credit portfolio models for concentration risk management.
Articles by Bernd Engelmann
Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.