Portfolio credit risk
SEC securitisation rule could hamper interest rate hedging
ABS participants say breadth of resurrected 2011 proposal creates compliance minefield
Interpretability of neural networks: a credit card default model example
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Non-payment insurance grows as banks shun stuttering CDS market
Credit portfolio managers explore insurance contracts to offset risk from loan book
Distortion risk measures for nonnegative multivariate risks
In this paper, the authors present a way to address multivariate distortion risk measures and give some examples of distortion functions and distributions where the final expression has a closed form.
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Portfolio credit risk model with extremal dependence of defaults and random recovery
This paper proposes a portfolio credit risk model with random recovery rates.
Stochastic loss given default and exposure at default in a structural model of portfolio credit risk
The authors develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at default (EAD) at both the systematic and borrower specific…
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Banks struggle to crack 'very complex nut' of IFRS 9
Move to expected loss impairment regime brings major challenges, say banks and accountants
Banks struggling with IFRS 9 impairment rules
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
Bayesian synthesis of portfolio credit risk with missing ratings
This paper uses a maximum likelihood estimation to assess the projected average default rates of debt portfolios.
Asset correlation in residential mortgage-backed security reference portfolios
This paper contributes to the literature about estimating asset correlation in two ways. First, we compare the performance of different estimation approaches in a simulation study.
In defence of cross-product margining
In defence of cross-product margining
CPM functions go back to basics
Old-school value
Multi-factor adjustment
The author presents an analytical method for calculating portfolio value-at-risk and expected shortfall in the multi-factor Merton framework. This method is essentially an extension of the granularity adjustment technique to a new dimension.
The structure of credit risk: spread volatility and ratings transitions
Ratings-based models are widely used by firms making their own capital decisions and by policy-makers designing regulatory capital requirements. By ignoring fluctuations in spreads for given rating categories, the currentgeneration of ratings-based…