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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 ...

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 ...

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

ARTICLE

Economic Capital in Times of COVID-19

Oct 9, 2020 | In the aftermath of the 2008 global financial crisis (GFC), economic capital (EC) - a popular tool ...

ARTICLE

Probability of Default: How to Pass the Jeffreys Test and Improve Predictive Ability

Sep 18, 2020 | Proper back-testing is crucial for any bank that submits its PD and LGD models to its supervisor ...

ARTICLE

The Role of AI in Credit Risk: A Conversation

Aug 14, 2020 | When working earlier this year in San Francisco, I found myself in a small breakfast restaurant in ...

ARTICLE

The Effects of COVID-19 on Expected Credit Loss Modeling

Jun 19, 2020 | Contending with the economic shocks of COVID-19 - including unemployment, decreasing revenues and ...

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