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ARTICLE

How to Improve LGD: Unlocking the Generalized Area Under the Curve

Jan 14, 2022 | It is difficult to gauge the performance of loss-given default (LGD) models, partly because it’s ...

ARTICLE

The Changing Credit Risk Management Landscape at European Banks

Nov 12, 2021 | Throughout 2021, European banks have devoted considerable time to reassessing and recalibrating ...

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 ...

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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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, ...

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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 ...

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 ...

ARTICLE

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 ...

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