Probabilities of default fall on average across 39 countries
Tax package is double-edged sword for US states, but credit has strengthened over past year
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
EU approach to new credit risk framework must recognise local market structures, say banking experts
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
Risk-weighted assets consumed by least-risky counterparties decline from 57% to 36% in two years
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
High street fails to get over Christmas slump; elsewhere, global PDs remain in flux, writes David Carruthers of Credit Benchmark
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Default probabilities paint a mixed picture of the decline of American shops
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
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.
Default risk for group of UK corporates has risen 11% over the past year
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say