

Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
CLICK HERE TO DOWNLOAD THE PDF
In this article, Michael Winands shows how a loan’s lifetime expected credit loss can be approximated when the underlying credit rating or collateralisation is altered, allowing it to be calculated over the Cartesian product of sets of ratings and collateralisations in a feasible amount of time. Hence, the expected value of a future provision (the forecast of a provision) can be determined with reasonable effort.
Since the financial crisis of 2007–8, stress
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact [email protected] to find out more.
You are currently unable to copy this content. Please contact [email protected] to find out more.
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Printing this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. Copying this content is for the sole use of the Authorised User (named subscriber), as outlined in our terms and conditions - https://www.infopro-insight.com/terms-conditions/insight-subscriptions/
If you would like to purchase additional rights please email [email protected]risk.net
Investing
The closer quants look, the less diversifying crypto appears
Analysis seems to confirm that the asset class is not an effective diversification play
Receive this by email