As Covid snaps credit models, lenders turn to stress-testing

Banks enlist scenario analysis to bolster creaking default models

Credit risk models are buckling under the strain of coronavirus, and banks are scrambling to fix or replace them. The models, which help lenders compute parameters such as probability of default (PD) and loss given default (LGD), lose their predictive power when faced with the kind of unique economic circumstances that are buffeting markets and companies during the pandemic crisis.

In the absence of credible inputs for standard models, banks are getting creative. They’re repurposing methods

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 or view our subscription options here:

You are currently unable to copy this content. Please contact to find out more.

Sorry, our subscription options are not loading right now

Please try again later. Get in touch with our customer services team if this issue persists.

New to View our subscription options

You need to sign in to use this feature. If you don’t have a account, please register for a trial.

Sign in
You are currently on corporate access.

To use this feature you will need an individual account. If you have one already please sign in.

Sign in.

Alternatively you can request an individual account here