Loan portfolio management
Loan losses: Banks’ estimates out of sync with Fed’s
Wells Fargo worst performer in latest DFAST exercise
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
Multiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
Loan classification under IFRS 9
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
Which risk–collateral channels affect loan management?
This study examines the empirical relation between loan risk and the economic characteristics of collateral, each of which may be associated with the empirical dominance of different risk-collateral channels implied by economic theory.
The simple link from default to LGD
The simple link from default to LGD
Can ECB draw a line under European banking fears?
Before the European Central Bank takes on its new supervisory role, a planned asset-quality review should ensure it is not walking into trouble. That’s if the process is thorough, of course, and untainted by political pressure – sceptics say that will be…
Capitalising on the bank asset sale
Capitalising on the bank asset sale
CPM functions go back to basics
Old-school value
An analytical framework for credit portfolio risk measures
An analytical framework for credit portfolio risk measures
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
New dawn for loan portfolio management
The way institutions handle credit is changing. Charles Smithson compares the results of two surveys done in the past two years to discover how portfolio management has evolved.
Canada's shifting credit scene
Canadian banks' attitude towards loan portfolio management is changing, and the impending Basel II Accord is accelerating the evolution of internal practices.
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Loan portfolio value
Using a conditional independence framework, Oldrich Vasicek derives a useful limiting form for the portfolio loss distribution with a single systematic factor. He then derives a risk-neutral distribution suitable for traded portfolios, and shows how…
Algo includes S&P for Basel II
Algorithmics is strengthening its credit risk management offering as demand grows for more comprehensive credit solutions. It is integrating a number of Standard & Poor’s credit data products with its analytical tools and developing a new module to help…
A perfect rating
Profile