ARTICLE
Oct 27, 2023 | Disruptions in the market for U.S. Treasuries, the most liquid of government securities markets and ...
ARTICLE
Oct 6, 2023 | European banks, amid the current environment of rising interest rates, inflation volatility and ...
ARTICLE
Sep 29, 2023 | The Basel III Endgame is on in the U.S. The rewriting of risk-based capital standards for the ...
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
ARTICLE
Aug 25, 2023 | Extreme tail-risk events cannot be predicted, as demonstrated by the many unforeseen, rare or ...
ARTICLE
Aug 18, 2023 | Concerns are growing among lenders that regulatory initiatives at the National Association of ...