In the past few years, there have been several developments in the field of modeling the credit risk in banks’ commercial loan portfolios. Credit risk is essentially the possibility that a bank’s loan ...
Pietro Rossi had a problem. An insurance company needed a model that could price bonds based on the likelihood of changes in credit ratings. The standard, off-the-shelf models are based on probability ...
This article was written by Jerome Barkate, Nakul Nair, Zane Van Dusen, and Scott Coulter. We are witnessing a remarkable period in the credit markets. Following years of accommodative monetary ...
This paper introduces a continuous-time extension to the influential CreditRisk+ model for portfolio credit risk modeling. For capital calculations it introduces a risk measure based on the maximum of ...
Equifax® today announced the launch of Credit Abuse Risk, a new predictive model that uses FCRA-regulated data and is designed to help protect lenders against first-party fraud and drive more ...
When it comes to credit risk monitoring, many banks find themselves falling behind the regulatory expectations. Regulators are expecting banks to take a more proactive approach, using forward-looking ...
FHFA and Fannie Mae have eliminated rigid minimum credit score floors (like 620) for conventional mortgages Lenders now can ...
Risk models at Credit Suisse had flagged the dangers before their $5.5 billion Archegos loss. Silicon Valley Bank's risk metrics showed clear warnings before their collapse. In both cases, ...
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