Probability of default (PD)

• Basel Committee

Hit the floor: banks fear Basel curbs for capital models

Regulators argue a backstop is needed to avoid too-low modelled numbers

• 04 Feb 2015

• Original research

A proposed framework for backtesting loss given default models

• 30 Mar 2014

• Original research

A statistical repertoire for quantitative loss given default validation: overview, illustration, pitfalls and extensions

• 30 Mar 2014

• Credit risk

Dynamic affordability assessment: predicting an applicant’s ability to repay over the life of the loan

• 30 Mar 2014

• Credit risk

The simple link from default to LGD

The simple link from default to LGD

• 14 Feb 2014

• Credit risk

The art of probability-of-default curve calibration

• 19 Dec 2013

• Original research

Response to the comment by L. R. Forest Jr., G. Chawla and S. D. Aguais

• 19 Dec 2013

• Original research

Comment in response to “A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems” by M. Carlehed and A. Petrov

• 19 Dec 2013

• Original research

Estimating long-run probability of default, asset correlation and portfolio-level probability of default using Vasicek models

• 18 Dec 2013

• Original research

A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests

• 18 Dec 2013

• Credit risk

Systematic risk factors redefined

Systematic risk factors redefined

• 28 Oct 2013

• Credit risk

Recovery rate risk and credit spreads in a hybrid credit risk model

• 30 Sep 2013

• Credit risk

Danske Bank RWA spat worries modelling experts

Model-bashing

• 25 Jul 2013

• Credit risk

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

• 27 Jun 2013

• Original research

An algorithmic model for retail credit portfolio segmentation

• 27 Jun 2013

• Original research

Probability of default validation: introducing the likelihood-ratio test and power considerations

• 27 Jun 2013

• Original research

Economic capital model validation: a comparative study

• 27 Mar 2013

• Credit risk

The survival analysis approach in Basel II credit risk management: modeling danger rates in the loss given default parameter

• 27 Mar 2013

• Credit markets

CDSs, CVA and DVA – a structural approach

CDSs, CVA and DVA – a structural approach

• 22 Mar 2013

• Markets

Closing out DVA

Closing out DVA

• 07 Jan 2013

• Credit risk

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

• 16 Oct 2012

• Credit risk

Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models

• 27 Sep 2012

• Original research

A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

• 27 Sep 2012

• Basel Committee

Turkish banks seek freedom as Basel II hits capital ratios

Istanbullish

• 04 Jul 2012