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ARTICLE
Jun 16, 2023 | Banks are going to be required to use the so-called foundation approach (F-IRB) to credit risk ...
ARTICLE
May 19, 2023 | Credit risk models that are adaptable, flexible and fast, one could argue, are what’s needed in the ...
ARTICLE
Apr 14, 2023 | One of the key factors behind the 2007-08 global financial crisis was an overreliance on external ...
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
IFRS 9 and Probability of Default: A Web of Confusion
The proper calculation of probability of default is crucial for European banks that need to comply with IRFS 9, the forward-looking financial...
Friday, April 11, 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
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
ARTICLE
Oct 21, 2022 | In these volatile and unpredictable times, European banks continue to face a major obstacle in ...
ARTICLE
Aug 12, 2022 | Economic capital has always been a key measure of a bank’s solvency. But under Basel III, the set ...
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