Results 21 to 30 of about 1,161,301 (335)
Risks, 2021 A new methodology to derive IFRS 9 PiT PDs is proposed. The methodology first derives a PiT term structure with accompanying segmented term structures. Secondly, the calibration of credit scores using the Lorenz curve approach is used to create account ...
Douw Gerbrand Breed +4 more
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Asset pricing and investor risk in subordinated asset securitisation [PDF]
, 2005 As a sign of ambivalence in the regulatory definition of capital adequacy for credit risk and the quest for more efficient refinancing sources collateral loan obligations (CLOs) have become a prominent securitisation mechanism. This paper presents a loss-
Jobst, Andreas A.
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Goodness-of-Fit of Logistic Regression of the Default Rate on GDP Growth Rate and on CDX Indices
Mathematics, 2021 Under the Basel II and Basel III agreements, the probability of default (PD) is a key parameter used in calculating expected credit loss (ECL), which is typically defined as: PD × Loss Given Default × Exposure at Default.
Kuang-Hua Hu +3 more
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Credit risk measurement: Evidence of concentration risk in Polish banks’ credit exposures [PDF]
Zbornik radova Ekonomskog fakulteta u Rijeci : časopis za ekonomsku teoriju i praksu, 2019 In recent years, there has been a lot of scientific research stressing the importance of understanding and measuring concentration risk in credit portfolios.
Natalia Nehrebecka
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IFRS 9 Transition Effect on Financial Stability of Kosovo Commercial Banks
Prizren Social Science Journal, 2021 From January 1, 2018, most of the commercial banks in Kosovo adopted IFRS 9. The new standard introduces the expected credit loss model to allow for timely recognition of credit losses, estimated not only on the actual credit loss but also on forward ...
Besmir ÇOLLAKU +2 more
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Recent Regulation in Credit Risk Management: A Statistical Framework
Risks, 2019 A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models.
Logan Ewanchuk, Christoph Frei
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Impact of COVID-19 on the Robustness of the Probability of Default Estimation Model
Mathematics, 2021 Probability of default (PD) estimation is essential to the calculation of expected credit loss under the Basel III framework and the International Financial Reporting Standard 9.
Ming-Chin Hung +2 more
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Social Science Research Network, 2020 This paper examines banks’ option to adopt the capital transitional arrangement (CTA) set out by the Basel Committee on Banking Supervision, in response to the introduction of the International Financial Reporting Standard 9 (IFRS 9), which requires the ...
Minyue Dong, Romain Oberson
semanticscholar +1 more source
Complexity, 2019 The current expected loss calculations have recently attracted considerable attention in the research on credit risk modeling, impairment provisioning, and financial networks’ stability.
Mariya Gubareva
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Inferred Rate of Default as a Credit Risk Indicator in the Bulgarian Bank System
Entropy, 2023 The inferred rate of default (IRD) was first introduced as an indicator of default risk computable from information publicly reported by the Bulgarian National Bank.
Vilislav Boutchaktchiev
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