Probability of default (PD)
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models
Carbon tax spike could spur global recession – S&P
Higher carbon prices would trigger widespread industry defaults, says agency research unit
Citi shed over $32bn of counterparty exposures in Q4
Risk-weighted assets for CCR exposures dropped -12%
Credit data: rising default risk for millennial companies
WeWork’s problems hint at the challenges facing companies focused on millennial customers
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much
On probability of default and its relation to observed default frequency and a common factor
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
EU banks’ credit risk estimates continue to fall
Mean average weighted corporate PD down to 2.24% from 2.61% in Q1 2018
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
Counterparty risk climbs at JP Morgan, falls back at rivals
JP Morgan EADs up 10% and CRR RWAs 11% year-on-year
On the mathematical modeling of point-in-time and through-the-cycle probability of default estimation/ validation
In this paper, the authors focus on PD estimation and validation. They provide the mathematical modeling for both point-in-time (PIT) and through-the-cycle (TTC) PD estimation, and discuss their relationship and application in our banking system.
Credit data: a new PD story for Brazil and Mexico?
One has been sliding, the other stable, but the stage appears to be set for a break from those trends
Credit data: falling default risk for China’s banks
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Default risks in peripheral eurozone inch up
Italian corporate PD estimates up to 9.12%
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Credit data: how US industries have fared under Trump
At the halfway point in the administration, time for a credit check, writes David Carruthers
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
Deutsche Bank's risky corporate loan pile towers over peers
German lender has one-quarter of all high-risk corporate loans reported by EU big banks
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries