Point-in-time

Biased benchmarks

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.

McDonough paints brave new world of bank regulation

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…

Reconciling ratings

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…

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