Technical paper/Probability of default (PD)
When banks venture beyond home turf: consequences for loan performance
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Forward ordinal probability models for point-in-time probability of default term structure: methodologies and implementations for IFRS 9 expected credit loss estimation and CCAR stress testing
This paper proposes an ordinal model based on forward ordinal probabilities for rank outcomes.
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
Point-in-time probability of default term structure models for multiperiod scenario loss projection
The author of this paper proposes a dynamic PD term structure model for multi-period stress testing and expected credit loss estimation.
Some options for evaluating significant deterioration under IFRS 9
The authors of this paper address some issues to do with IFRS 9 and explain how to determine if an instrument has suffered serious deterioration in credit risk.
A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration
This paper proposes a methodology for constructing TTC rating grades and assessing the resulting degree of PIT-ness.
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Biased benchmarks
The authors of this paper contend that recent evidence indicates that benchmarks have, over the last eleven years, exaggerated default risk for nonfinancial corporate entities.
The simple link from default to LGD
The simple link from default to LGD
Systematic risk factors redefined
Systematic risk factors redefined