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ARTICLE
Apr 11, 2025 | IFRS 9 rules for calculating the lifetime expected credit loss (ECL) continue to create confusion. ...
ARTICLE
Feb 7, 2025 | Probability of default (PD), loss-given default (LGD) and exposure at default (EAD) have been the ...
ARTICLE
Jan 10, 2025 | Fueled by rampant geopolitical uncertainty, sovereign risk is on the rise in Europe. Policymakers ...
Credit Risk Measurement: Alternatives for PD-LGD-EAD on the Horizon?
Even after 40 years, the PD-LGD-EAD framework is still going strong – but models with more power and greater predictive accuracy are lurking. Though...
Friday, February 7, 2025
Stress Testing: A Practical Guide
Banks and regulators remain committed to stress testing. What are the different types of tests and approaches, and what elements are necessary to...
Friday, January 31, 2020
Synthetic Risk Transfers Draw Interest from U.S. Banks
More common in Europe until now, SRT deals can effectively off-load credit risks and help improve capital efficiency. But the pricing has to be right.
Friday, May 10, 2024
Probability of Default: How to Pass the Jeffreys Test and Improve Predictive Ability
To back-test PD and meet the European Central Bank's validation requirements for measurement of defaults, many banks use a predictive ability tool...
Friday, September 18, 2020
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Aug 2, 2024 | The drive to increase the discriminatory power of a model is like the search for the Holy Grail for ...
ARTICLE
Jun 7, 2024 | For many years, in the aftermath of the global financial crisis (GFC), a stigma was attached to ...
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