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
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