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ARTICLE

Model Risk: Why Size Matters for Banks

Oct 8, 2021 | As a general rule, the bigger the bank, the more sophisticated its credit-risk models. But ...

ARTICLE

Probability of Default: The Pluses and Minuses of Transition Matrices

Aug 13, 2021 | Transition matrices measure the transition probabilities for credit-risk ratings over specific time ...

ARTICLE

Beyond Probability of Default: How to Expand the Use of the Jeffreys Test

Jul 9, 2021 | The Jeffreys test is the most important diagnostic tool for assessing the calibration of the bucket ...

ARTICLE

The Riskiness of Small Banks vs. Large Banks: Size Matters

Jun 11, 2021 | Bigger is better. At least, it seems, with respect to the riskiness of banks. The capital, ...

ARTICLE

The Skewed Generalized T Distribution: A Swiss Army Knife for Tail Risk

Apr 9, 2021 | Every risk professional knows that price shifts can widely diverge. Daily or weekly returns can go ...

Trending Articles

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

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

Private Credit Moves In on Traditional Loan Channels, and Regulators Are Watching

The segment remains small relative to total debt and the economy, but the risks of contagion and banking instability cannot be ruled out.

Friday, March 22, 2024

Synthetic Risk Transfers Draw Interest from U.S. Banks

More common in Europe until now, SRT deals can effectively off-load credit risks and help improve capital efficiency. But the pricing has to be right.

Friday, May 10, 2024

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ARTICLE

Pros and Cons of the Six Sigma Approach for Credit Risk Management

Mar 12, 2021 | Over the past 12 months, bank have faced a myriad of difficulties, ranging from data deficiencies ...

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Probability of Default: Pros and Cons of the Population Stability Index

Jan 29, 2021 | All banks need to meet quality standards for their probability of default (PD) rating systems, and ...

ARTICLE

The Uncertain Future of Credit Risk in Europe: Banks, Borrowers, and Expiring Moratoria

Dec 11, 2020 | In response the pandemic, borrowers across Europe were given more time to repay their loans in ...

ARTICLE

Model Validation: Breaking Down the Glitch in a Key Tool

Nov 13, 2020 | When validating models, to separate riskier and less risky customers, banks need to assess the ...

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