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How to Model Forward-Looking Credit Risk

Jan 27, 2023 | The problems with credit loss-projection methodologies that rely on historical data have been ...

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Catastrophe Risk Protection: Hurricane Ian Dislocates an Already Challenged Market

Dec 2, 2022 | Catastrophe (cat) bond and insurance-linked securities (ILS) issuance appeared to be on its way to ...

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Two Regulators, Two Views: BCBS and ECB Offer Contrasting Perspectives on Bank Credit Risk

Nov 11, 2022 | In October, two regulatory studies of great interest to credit risk managers were published: the ...

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The Holiday Season Outlook for Credit Risk

Nov 4, 2022 | American consumers are the main pillar of support for both the U.S. and global economies. Indeed, ...

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Economic Misery and Bank Financial Performance

Oct 28, 2022 | The global economy is not yet in a recession, but things sure feel miserable. In the context of ...

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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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The Expected Credit Losses Dilemma: Weighing IFRS 9’s “SICR”

Oct 21, 2022 | In these volatile and unpredictable times, European banks continue to face a major obstacle in ...

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Buy-Now-Pay-Later and Alternative Data Bring Disruption to Retail Credit

Oct 14, 2022 | Explosive growth in buy-now-pay-later programs is disrupting point-of-purchase consumer credit, in ...

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Calculating the Capital Buffer in Volatile Times: How Much is Enough?

Sep 30, 2022 | The amount of capital that is needed for an institution to be resilient through the rough times, ...

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Are CECL and IFRS 9 Reasonable and Supportable?

Sep 23, 2022 | CECL and IFRS 9, a pair of next-generation accounting standards, were supposed to provide a ...



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