Probability of default (PD)

• Original research

A mixture vector autoregressive framework to capture extreme events in macro-prudential stress tests

• 18 Dec 2013

• Credit risk

Systematic risk factors redefined

Systematic risk factors redefined

• 28 Oct 2013

• Credit risk

Recovery rate risk and credit spreads in a hybrid credit risk model

• 30 Sep 2013

• Credit risk

Danske Bank RWA spat worries modelling experts

Model-bashing

• 25 Jul 2013

• Credit risk

Applying the zero-adjusted inverse Gaussian model to predict probability of default and exposure at default for a credit card portfolio

• 27 Jun 2013

• Original research

An algorithmic model for retail credit portfolio segmentation

• 27 Jun 2013

• Original research

Probability of default validation: introducing the likelihood-ratio test and power considerations

• 27 Jun 2013

• Original research

Economic capital model validation: a comparative study

• 27 Mar 2013

• Credit risk

The survival analysis approach in Basel II credit risk management: modeling danger rates in the loss given default parameter

• 27 Mar 2013

• Credit markets

CDSs, CVA and DVA – a structural approach

CDSs, CVA and DVA – a structural approach

• 22 Mar 2013

• Markets

Closing out DVA

Closing out DVA

• 07 Jan 2013

• Credit risk

FSA forces UK banks to assume higher sovereign losses

Behind-the-scenes clampdown sets loss-given-default floor at 45% – and could make UK bonds less attractive

• 16 Oct 2012

• Credit risk

Recursive formulas for the default probability distribution with applications in Markov chain-based intensity models

• 27 Sep 2012

• Original research

A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

• 27 Sep 2012

• Basel Committee

Turkish banks seek freedom as Basel II hits capital ratios

Istanbullish

• 04 Jul 2012

• Credit risk

Modeling exposure at default and loss given default: empirical approaches and technical implementation

• 30 Jun 2012

• Original research

Probability of default validation: a single-year and a multiyear methodology for the Basel framework

• 30 Jun 2012

• Basel Committee

Q&A: Ryozo Himino on Basel’s RWA probe and the need for minimum standards

Under one accord

• 08 Jun 2012

• Market risk

Basel 2.5 meets the Sarkozy trade: new rules could hit bond demand

Irksome IRC

• 01 Jun 2012

• Basel Committee

Basel III takes a bite out of aircraft and shipping finance

On the scrapheap

• 04 May 2012

• Basel Committee

Bank capital

In depth: bank capital introduction

• 05 Apr 2012

• Basel Committee

Q&A: Ryozo Himino on Basel's RWA probe and the need for minimum standards

Time for scrutiny

• 05 Apr 2012

• Basel Committee

Credible capital: regulators prepare to tackle RWA divergence

Credible capital

• 05 Apr 2012

• Original research

Stress testing a retail loan portfolio: an error correction model approach

• 28 Mar 2012