Probability of default (PD)
Banks: OCC guidance forced downgrade of healthy energy loans
Loans with low loss given defaults now considered impaired, lenders complain
Risk Chartis Market Report: IFRS 9
A market report on IFRS 9 sponsored by Oracle, Moody's Analytics and AxiomSL
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.
Banks battle to preserve ‘good value’ IRB models
Improving credit risk assumptions could soften Basel's push for input floors
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
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.
Traders shocked by $712m CVA loss at StanChart
Bank’s new methodology has been used by some rivals for more than a decade
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.
Hit the floor: banks fear Basel curbs for capital models
One way for regulators to exert some control over too-disparate capital numbers is to apply a system of floors. Rules are in the works, but the big question is where they will be struck and what the effect will be. Industry critics are already warning of…
The simple link from default to LGD
Risk managers often use ad hoc regressions to incorporate loss given default risk into their models. Regression can give good results when data is plentiful, but in reality this data is sparse. Here, Jon Frye introduces a new function that can be more…
Systematic risk factors redefined
Credit risk factor models tend to have a narrow focus on the Gaussian case, use copula functions that don’t work well with the martingale methods used in pricing, and can introduce arbitrage. Dariusz Gatarek and Juliusz Jablecki show how an increasing…