Credit

Stress Testing Uncertainty: What Does It Mean for FRMs?

Stress testing for banks seems like a straightforward exercise: assume a series of economic and financial conditions that would hamstring a bank’s performance, then project whether the bank has...

Friday, May 20, 2022

Credit Edge

Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test

Friday, May 13, 2022

Risk Weighted

The Pandemic Will Improve Risk Modeling – If We Let It

Friday, May 6, 2022

Modeling Risk

Calibrating Recession Risks

Friday, May 6, 2022

Counterparty

Credit Access and Risk: A Balancing Act

Friday, April 8, 2022

Trending Articles

How to Improve LGD: Unlocking the Generalized Area Under the Curve

Financial institutions can use the so-called gAUC metric to more accurately measure and enhance the performance of their loss-given default models....

Friday, January 14, 2022

Basel III: The Impact of the New Probability of Default Input Floor

PD reforms are on the horizon, but what are these regulatory-driven revisions, and how do their potential benefits measure up with their drawbacks?

Friday, February 11, 2022

The Changing Credit Risk Management Landscape at European Banks

Thanks to regulatory revisions, optimistic day-counting systems for loans are now a thing of the past, default reporting has improved and banks that...

Friday, November 12, 2021

2022 Stress Testing Expectations

The Fed’s CCAR stress-testing exercise for this year covers harsher economic conditions, but does not assume what would happen to loan defaults if...

Friday, March 4, 2022

Risk Weighted

How to Fix Stress Testing

The time is ripe to reflect on whether we’ve extracted all we can from traditional stress tests, and to then consider some alternative strategies for future installments. On the heels of the recent...

Friday, April 1, 2022