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ARTICLE
Apr 1, 2022 | The time is ripe to reflect on whether we’ve extracted all we can from traditional stress tests, ...
ARTICLE
Mar 11, 2022 | Forecasting is a key tool used in stress tests and in projections for expected credit losses. The ...
ARTICLE
Mar 4, 2022 | Should stress-testing downturn scenarios developed by regulators take into account potential ...
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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Jan 14, 2022 | It is difficult to gauge the performance of loss-given default (LGD) models, partly because it’s ...
ARTICLE
Dec 3, 2021 | Robinhood and other brokerages restricted trading last January in GameStop and other so-called meme ...
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