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Calibrating Recession Risks

May 6, 2022 | Consumer price inflation is rising at rates we haven’t seen since the early 1980s. The odds of a ...

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Credit Access and Risk: A Balancing Act

Apr 8, 2022 | The Federal Housing Finance Agency (FHFA) is considering changes to how government-sponsored ...

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How to Fix Stress Testing

Apr 1, 2022 | The time is ripe to reflect on whether we’ve extracted all we can from traditional stress tests, ...

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Stress Testing and ECL: The Illusory Concept of Perfect Forecasting

Mar 11, 2022 | Forecasting is a key tool used in stress tests and in projections for expected credit losses. The ...

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2022 Stress Testing Expectations

Mar 4, 2022 | Should stress-testing downturn scenarios developed by regulators take into account potential ...

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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Fed Study: CECL Boosted Banks’ Reserves, but Impact on Lending Is Unclear

Feb 18, 2022 | The Current Expected Credit Losses (CECL) accounting standard may have enabled a quicker reaction ...

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Basel III: The Impact of the New Probability of Default Input Floor

Feb 11, 2022 | In 2023, as part of a Capital Requirements Regulation (CRR3) amendment, the probability of default ...

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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 ...

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U.S. Securities Industry Gets Behind Plan to Curtail Settlement Risk

Dec 3, 2021 | Robinhood and other brokerages restricted trading last January in GameStop and other so-called meme ...

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