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ARTICLE
May 27, 2022 | After a pandemic-induced delay, Financial Accounting Standards Board (FASB) guidance is allowing ...
ARTICLE
May 20, 2022 | Stress testing for banks seems like a straightforward exercise: assume a series of economic and ...
ARTICLE
Mar 11, 2022 | Forecasting is a key tool used in stress tests and in projections for expected credit losses. The ...
How to Improve LGD: Unlocking the Generalized Area Under the Curve
Financial institutions can use the so-called gAUC metric to more accurately measure and enhance the performance of their loss-given default models....
Friday, January 14, 2022
Basel III: The Impact of the New Probability of Default Input Floor
PD reforms are on the horizon, but what are these regulatory-driven revisions, and how do their potential benefits measure up with their drawbacks?
Friday, February 11, 2022
Model Validation for Credit Risk: A Critical Deficiency in the Jeffreys Test
In credit-risk modeling, the most important test for calibration accuracy is the Jeffreys test. But this test has peculiarities that bring an innate...
Friday, May 13, 2022
The Changing Credit Risk Management Landscape at European Banks
Thanks to regulatory revisions, optimistic day-counting systems for loans are now a thing of the past, default reporting has improved and banks that...
Friday, November 12, 2021
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Apr 30, 2021 | Banks ramped up loan-loss reserves at the onset of the pandemic because of the current expected ...
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Jan 8, 2021 | Credit market observers are expecting a bull run to continue well into 2021. Volatility is seen as ...
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