Credit veteran rewrites the alphabet of risk modelling

Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again

Alphabet letters
A to Z-Risk: Aguais has helped develop a credit risk assessment engine

Things are changing in the world of credit risk.

Since Basel II cemented the approach in regulation, banks have been relying on so-called through-the-cycle measures of credit risk, which average out the impact of fluctuations in the economic cycle. But requirements such as International Financial Reporting Standard 9 (IFRS 9) and the US Federal Reserve Board's Comprehensive Capital Analysis and Review (CCAR) are increasingly pushing banks towards the opposite: point-in-time measures, which

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