Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
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.
One has been sliding, the other stable, but the stage appears to be set for a break from those trends
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Italian corporate PD estimates up to 9.12%
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
At the halfway point in the administration, time for a credit check, writes David Carruthers
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
Risk densities range widely and out-of-sync with average probabilities of default
German lender has one-quarter of all high-risk corporate loans reported by EU big banks
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries
New smoothing technique claims to overcome flaws in risk rating scales
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