Probability of default (PD)
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
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.
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Systematic risk factors redefined
Danske Bank RWA spat worries modelling experts
Model-bashing
CDSs, CVA and DVA – a structural approach
CDSs, CVA and DVA – a structural approach
Closing out DVA
Closing out DVA
FSA forces UK banks to assume higher sovereign losses
Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive