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Stress Testing Uncertainty: What Does It Mean for FRMs?

May 20, 2022 | Stress testing for banks seems like a straightforward exercise: assume a series of economic and ...

ARTICLE

Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test

May 13, 2022 | A loan portfolio with zero defaults over, say, the past 12 months, is generally considered ...

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The Pandemic Will Improve Risk Modeling – If We Let It

May 6, 2022 | Risk modelers around the financial services industry are grappling with the question of how to ...

ARTICLE

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 ...

ARTICLE

Credit Access and Risk: A Balancing Act

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

Trending Articles

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

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

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

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

ARTICLE

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, ...

ARTICLE

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 ...

ARTICLE

2022 Stress Testing Expectations

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

ARTICLE

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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