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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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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 ...

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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 ...

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

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