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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

The Hidden Risks of Private Credit – and How to Spot Them

The private credit market has exploded in size and emerged as a vital source of capital for companies overlooked by traditional banks. Yet beneath...

Friday, October 17, 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

New Definition of Default: Unpacking the EBA Narrative

The European Banking Authority has indicated a strong preference for strict rules regarding default recognition for future COVID-like times when...

Friday, August 22, 2025

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 ...

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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