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
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Median probability of default increases 17bp to 1.39% on the quarter
Banks enlist scenario analysis to bolster creaking default models
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Asia Risk Technology Awards 2019
Mean average weighted corporate PD down to 2.24% from 2.61% in Q1 2018
Loss given default estimation: a two-stage model with classification tree-based boosting and support vector logistic regression
In this paper, the authors using a data set composed of five Japanese regional banks, propose an loss given default estimation model using a two-stage model, classification tree-based boosting and support vector regression (SVR).
Italian corporate PD estimates up to 9.12%
Quants propose replacement to existing credit risk measure
Quants propose tail risk-sensitive measure for counterparty credit risk
The potential future loss is proposed as a replacement for PFE
Just 1% to 5% of exposures covered by credit risk mitigants
Supervisors drive banks to seek more corporate default data and cost-effective model improvements