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ARTICLE

Credit Risk Measurement: Basel III’s External Ratings Dilemma

Apr 14, 2023 | One of the key factors behind the 2007-08 global financial crisis was an overreliance on external ...

ARTICLE

When to Change IFRS 9 Scenario Weights for ECL: A Simple Rule

Mar 10, 2023 | European banks that must comply with the IFRS 9 financial reporting standard suffer today from a ...

ARTICLE

Two Regulators, Two Views: BCBS and ECB Offer Contrasting Perspectives on Bank Credit Risk

Nov 11, 2022 | In October, two regulatory studies of great interest to credit risk managers were published: the ...

ARTICLE

The Expected Credit Losses Dilemma: Weighing IFRS 9’s “SICR”

Oct 21, 2022 | In these volatile and unpredictable times, European banks continue to face a major obstacle in ...

ARTICLE

Economic Capital: The Power of Diversification

Aug 12, 2022 | Economic capital has always been a key measure of a bank’s solvency. But under Basel III, the set ...

Trending Articles

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

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

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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The Problems with Ritualistic Risk Management

Jul 8, 2022 | Financial institutions and regulators have demonstrated their adaptability amid the volatile market ...

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EBA’s Latest Risk Report for European Banks: Interesting, But Mistimed

Jun 10, 2022 | Challenged by lockdowns, temporary or permanent closures of businesses, and cash-flow shortfalls ...

ARTICLE

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

May 13, 2022 | A loan portfolio with zero defaults over, say, the past 12 months, is generally considered ...

ARTICLE

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

Feb 11, 2022 | In 2023, as part of a Capital Requirements Regulation (CRR3) amendment, the probability of default ...

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