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Nov 12, 2021 | The larger of two sets of asset managers implementing new initial margin rules by September for ...
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Aug 28, 2020 | The COVID-19 pandemic has had a significant impact on our lives and our livelihood. It has forced ...
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May 22, 2020 | For years, lenders have signed on to commercial loans with fewer and more flexible covenants. This ...
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
Stress Testing and ECL: The Illusory Concept of Perfect Forecasting
There is no flawless time horizon for capital planning or for projecting credit losses. But there are steps financial institutions can take to...
Friday, March 11, 2022
2022 Stress Testing Expectations
The Fed’s CCAR stress-testing exercise for this year covers harsher economic conditions, but does not assume what would happen to loan defaults if...
Friday, March 4, 2022
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Dec 20, 2019 | The second-to-last batch of participants in the uncleared, over-the-counter (OTC) derivatives ...
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Sep 13, 2019 | The longstanding trend of weak commercial loan covenants has begun to turn, according to Moody's ...