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Technical paper/Probability of default (PD)

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

abstract-time-brown-hourglass-sand-and-blue-clockfaces

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

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

technology

Credit markets

CDSs, CVA and DVA – a structural approach

CDSs, CVA and DVA – a structural approach

22 Mar 2013

balance sheet

Markets

Closing out DVA

Closing out DVA

07 Jan 2013

Credit risk

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

27 Sep 2012

Journal of Risk Model Validation

Original research

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

27 Sep 2012

Credit risk

Modeling exposure at default and loss given default: empirical approaches and technical implementation

30 Jun 2012

Journal of Risk Model Validation

Original research

Probability of default validation: a single-year and a multiyear methodology for the Basel framework

30 Jun 2012

Journal of Risk Model Validation

Original research

Stress testing a retail loan portfolio: an error correction model approach

28 Mar 2012

Journal of Risk Model Validation

Original research

Addressing the issue of conservatism in probability of default estimates: a validation tool

Research Papers

23 Sep 2011

Credit risk

Counterparty risk capital and CVA

Counterparty risk capital and CVA

25 Jul 2011

Original research

Probability of default estimation and validation within the context of the credit cycle

23 Jun 2010

Credit markets

A bottom-up model with top-down dynamics

Yadong Li proposes a flexible, tractable and arbitrage-free bottom-up dynamic correlation modelling framework with a consistent stochastic recovery specification for multi-name credit derivatives. In this framework, the model’s spread dynamics can be…

04 Jun 2010

Journal of Risk Model Validation

Original research

Internal credit rating systems: methodology and economic value

20 Jun 2009

Journal of Risk Model Validation

Original research

Wavelet analysis of business cycles for validation of probability of default: what is the influence of the current credit crisis on model validation?

01 Apr 2009

Original research

Estimating and validating long-run probability of default with respect to Basel II requirements

25 Sep 2008

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