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Credit Edge

By: Marco Folpmers

Provocative perspectives on risk measurement, regulation, expected losses (CECL/IFRS 9), quantitative risk, and modeling issues in the credit space.

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Article

Addressing Geopolitical Risk Through Stochastic Matrices

June 13, 2025

Financial risk managers are deploying advanced credit monitoring and measurement tools to account for rising geopolitical risk. What are these tools, ...

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Trade Wars Should Motivate Banks to Rethink Credit Risk Management

May 16, 2025

The effects of the reciprocal tariffs unveiled by the Trump administration last month extend beyond inflation, interest rates and the supply chain. ...

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IFRS 9 and Probability of Default: A Web of Confusion

April 11, 2025

The proper calculation of probability of default is crucial for European banks that need to comply with IRFS 9, the forward-looking financial ...

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Credit Risk Measurement: Alternatives for PD-LGD-EAD on the Horizon?

February 7, 2025

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 ...

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Sovereign Exposures: Zero Reason for Zero Risk Weight

January 10, 2025

Despite rising geopolitical threats and evidence that sovereign debt in Europe is now volatile, banks are still allowed by regulators to treat ...

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Statistical Hypothesis Skepticism: Implications for Credit Risk

November 27, 2024

Despite recent criticism of null hypothesis testing in the scientific community, credit risk modelers continue to use statistical measurement tools, ...

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The ECB’s Fresh Approach for Improving Culture and Risk Governance at European Banks

October 11, 2024

Traditionally, when providing guidance on risks related to culture and governance, regulators have emphasized positive attributes that banks should ...

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The ECB’s Paper on Novel Risks and IFRS 9 Overlays: A Missed Opportunity

September 13, 2024

Forecasting loan loss provisions for emerging risks under the IFRS 9 accounting standard is an important and extremely challenging task. The European ...

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Credit Modeling: How to Improve Discriminatory Power

August 2, 2024

Predicting defaults is a difficult challenge for risk managers, partly because credit risk models often lack adequate discriminatory power. Some ...

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The Evolving Role of G-SIBs: Is Big Beautiful Again?

June 7, 2024

There is a growing appreciation for global systemically important banks. But G-SIBs still face tough risk management standards and high capital ...

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