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Nov 4, 2022 | American consumers are the main pillar of support for both the U.S. and global economies. Indeed, ...
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Oct 28, 2022 | The global economy is not yet in a recession, but things sure feel miserable. In the context of ...
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Oct 21, 2022 | In these volatile and unpredictable times, European banks continue to face a major obstacle in ...
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
Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test
In credit-risk modeling, the most important test for calibration accuracy is the Jeffreys test. But this test has peculiarities that bring an innate...
Friday, May 13, 2022
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
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Sep 23, 2022 | CECL and IFRS 9, a pair of next-generation accounting standards, were supposed to provide a ...
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Sep 9, 2022 | Banks’ internal ratings-based (IRB) processes for validating credit risk models have historically ...
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