Menu

Credit

ARTICLE


Should We Centralize Stress Testing?

Aug 6, 2021 | Nearly every civilization since antiquity has developed the concept of a “trickster.” This god, ...

ARTICLE


How to Stress Test for Extremely Unexpected Scenarios

Jul 23, 2021 | In the financial services community, surprises aren't to everyone's taste. Sometimes, like the ...

ARTICLE


Beyond Probability of Default: How to Expand the Use of the Jeffreys Test

Jul 9, 2021 | The Jeffreys test is the most important diagnostic tool for assessing the calibration of the bucket ...

ARTICLE


The Riskiness of Small Banks vs. Large Banks: Size Matters

Jun 11, 2021 | Bigger is better. At least, it seems, with respect to the riskiness of banks. The capital, ...

ARTICLE


The Archegos Collapse: Not Just a Family Office Affair

May 28, 2021 | Was the downfall in March of Archegos Capital Management a case of financial-crisis dÉjÀ vu? It ...

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

Advertisement

ARTICLE


With CECL in Force, Banks Remain Cautious on Loss Reserves

Apr 30, 2021 | Banks ramped up loan-loss reserves at the onset of the pandemic because of the current expected ...

Advertisement

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


Should COVID-19 Change Through-the-Cycle Calculations for ECL?

Mar 26, 2021 | In credit risk management, it is common to distinguish between point-in-time (PIT) and ...

ARTICLE


How to Prepare for Future Crises: A Multi-Scenario Approach to Tail Risk

Mar 26, 2021 | “The future is not set,” said Kyle Reese, the hero in The Terminator movie. That, believe it or ...



We are a not-for-profit organization and the leading globally recognized membership association for risk managers.

weChat QR code.
red QR code.

BylawsCode of ConductPrivacy NoticeTerms of Use © 2024 Global Association of Risk Professionals