Technical paper/Credit risk
An effective credit rating method for corporate entities using machine learning
The authors propose a new method to design credit risk rating models for corporate entities using a meta-algorithm which exploits information embedded in expert-assigned credit ratings to rank customers.
Merton’s model with recovery risk
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
A general firm value model under partial information
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
A new approach to detecting change in credit quality
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
A structural credit risk model based on purchase order information
This paper proposes a credit risk model based on purchase order information to address the deficiencies of monitoring methods that use only financial statements.
Bank-sourced transition matrixes: are banks’ internal credit risk estimates Markovian?
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
A survey of machine learning in credit risk
This paper surveys the impressively broad range of machine learning methods and application areas for credit risk.
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
Review of credit risk and credit scoring models based on computing paradigms in financial institutions
This paper provides an overview of some prominent credit scoring models used in financial institutions and provides an insight into how the use and integration of popular computing paradigms based on NNs, machine learning, game theory and BDA in credit…
Empirical validation of the credit rating migration model for estimating the migration boundary
In this paper, a structural model for credit rating migration is developed and validated, by which the migration boundary is recovered for the first time.
Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?
This study provides a general overview of the external financing landscape for the UK SMEs and an exploratory analysis of the SME portfolio of one of the alternative lenders in the United Kingdom.
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
In this paper, we expand the modeling process by constructing a set of client-behavior-based predictors that can be used to construct more precise models, and we investigate the economic justifications empirically to examine their potential usage.
A hybrid model for credit risk assessment: empirical validation by real-world credit data
This paper examines which hybridization strategy is more suitable for credit risk assessment in the dynamic financial world.
A framework to analyze the financial effects of climate change
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector
The authors present an integrated assessment of energy transition risk that links future energy scenarios to a structural economic model.
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
Statistical properties of the population stability index
This paper aims to fill a gap in the literature by providing statistical properties of the population stability index (PSI) and some recommendations on its use.
Client engineering of XVA
A client’s guide to reducing XVA in times of need