On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
In this paper, the authors focus on PD estimation and validation. They provide the mathematical modeling for both point-in-time (PIT) and through-the-cycle (TTC) PD estimation, and discuss their relationship and application in our banking system.
Major changes are expected under the new IFRS 17 regime – insurance companies must make efforts to comprehend and communicate the full impact of changes to profit emergence under different scenarios, and its sensitivity to different methodology choices,…
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Sponsored by Oracle, Moody's Analytics and AxiomSL
The authors of this paper address some issues to do with IFRS 9 and explain how to determine if an instrument has suffered serious deterioration in credit risk.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
In this paper, the authors show how one can use a certain class of models for modeling portfolios such as large corporates, banks and insurance companies.
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
Echoing remarks made earlier in the week, William McDonough, president of the New York Federal Reserve Bank, stressed that the results of the third Quantitative Impact Statement (QIS3) being compiled at the moment show that few changes will have to be…
NEW YORK - The Basel Committee on Banking Supervision, the architect of the Basel II capital Accord, will adopt a flexible approach to point-in-time and business cycle credit ratings used by banks when reviewing advanced internal-rating based approaches.
How should internal credit ratings be calibrated to long-term default rates? This multibillion-dollar question is at the heart of the debate over Basel’s IRB approach. In thisarticle, Stefan Blochwitz and Stefan Hohl use simulations to demonstrate wide…