Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
The authors employ signaling theory and machine learning methods to investigate loss given default predictions of commercial banks and propose a method to improve the accuracy of these predictions.
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
The building society’s strict focus on mortgages meant impact was all-sweeping
Federico Tacchetto, senior manager at Prometeia, describes how to calculate risk parameters for project finance exposures. Based on a simulation approach of the cashflows, it is assessed whether the generated net revenue will be sufficient to repay the…
A default intensity model reveals the risk carried by a highly leveraged counterparty
Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight
This paper proposes a methodology for estimating loss given default (LGD) that accounts for small default sample sizes.
This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively.
Practitioners divided on whether climate risk can fit into existing credit risk weights
Post-Trim changes erode capital savings from internal models while raising their running costs
Weighted average corporate borrower PD across countries climbed to 2.15%
Median PD of corporate portfolios down to 1.6% from 1.73%
Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
In this paper, we expand the modeling process by constructing a set of client-behavior-based predictors that can be used to construct more precise models, and we investigate the economic justifications empirically to examine their potential usage.
The authors investigate the puzzle in the literature that various parametric loss given default (LGD) statistical models perform similarly, by comparing their performance in a simulation framework.
Asia Risk Technology Awards 2020
Decomposing corporate default rates helps identify credit cycles
Banks and regulators are second-guessing the policy response to new outbreaks
Weighted average corporate borrower PD across countries climbed to 2.04%
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
Risk-weighted assets lagged surge in EAD
Median probability of default increases 38bp to 1.7% on the quarter