Credit risk
Exposing actionable insights in credit risk management
Sponsored webinar: Moody's Analytics and Qlik
Consensus information and consensus rating: a simulation study on rating aggregation
This paper explores the aggregation of different single ratings to a ‘consensus rating’ to get a higher precision of a debtor’s default probability. It builds upon the methodology published by Grün et al, 2013 and Lehmann and Tillich, 2016.
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Why did the crisis cause such large op risk losses?
Huge losses from the 2008 crisis can be seen as a short option position
Financial and nonfinancial variables as long-horizon predictors of bankruptcy
This paper assesses the predictive ability of financial and nonfinancial variables for a long horizon in a large cross-sectional sample of Finnish firms
Risk Chartis Market Report: IFRS 9
Sponsored by Oracle, Moody's Analytics and AxiomSL
Rise of the machines: AI begins to tackle credit risk
Self-taught technology could push humans aside from some – or all – of the underwriting process
Credit veteran tackles opacity in peer-to-peer lending
PeerIQ CEO Ram Ahluwalia shines a light on the world of peer-to-peer securitisation
Data challenges in IFRS 9
Sponsored webinar: Oracle
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits
This paper introduces a model which enables lenders to develop specific policies for credit granting by predicting the solvency and insolvency rates of their corporate clients.
Under construction: Renovations for CECL begin
Sponsored content: SAS
Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default
This study investigates two well-established ensemble learning methods: Stochastic Gradient Boosting and Random Forest, and proposed two new ensembles.
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
The impact of loan-to-value on the default rate of residential mortgage-backed securities
This paper analyzes the validity of using the loan-to-value (LTV) ratio to explain the behavior of mortgage borrowers at an empirical level.
Creating business value: Measuring the return of improved data management
Sponsored survey analysis: Oracle Financial Services
Credit risk in energy: Best practices for challenging times
Sponsored webinar: Moody's Analytics
Brexit clauses put brakes on big UK property loans
Collapse in sterling expected to see in-flight deals renegotiated
Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Metro Bank aspires to IRB for credit risk
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
Extended saddlepoint methods for credit risk measurement
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
US banks face questions over bad oil loans
Resilience of hard-hit regional lenders scrutinised as losses mount