Technical paper/Credit risk
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
The robustness of estimators in structural credit loss distributions
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
Default predictors in credit scoring: evidence from France’s retail banking institution
This paper presents the set-up of a behavioral credit-scoring model, and estimates such a model using an auto loan data set of one of the largest multinational financial institutions based in France.
Path-consistent wrong-way risk
A copula-based model for wrong way risk
Short-rate joint-measure models
A joint-measure model combining Q-measure and P-measure
Asset correlation of retail loans in the context of the new Basel Capital Accord
The approach to the measurement of credit risk recommended by the new Basel Capital Accord (Basel II) gives a wide choice of basic risk estimators. However, the rules for estimating asset correlations are defined in an ambiguous manner.
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
The simple link from default to LGD
A new approach to incorporating loss given default into models
Stochastic modelling of reinsurance credit risk
Stochastic modelling of reinsurance credit risk
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Systematic risk factors redefined
Systematic risk factors redefined