Add to ORKGWe survey both academic and proprietary models to examine how macroeconomic and systematic risk effects are incorporated into measures of credit risk exposure. Many models consider the correlation between the probability of default (PD) and cyclical factors. Few models adjust loss rates (loss given default) to reflect cyclical effects. We find that the possibility of systematic correlation between PD and LGD is also neglected in currently available models
markdownabstractCyclicality in the losses of bank loans is important for bank risk management. Becau...
We model aggregate credit losses on large portfolios of financial positions contracted with firms su...
This report analyzes reduced-form credit risk models, and reviews the three main approaches to incor...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
We model 1927-1997 US business failure rates using an unobserved components time series model. Clear...
There has been increasing support in the empirical literature that both the probability of default (...
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cyc...
We start by presenting a reduced-form multiple default type of model and derive ab-stract results on...
Two important risk drivers in credit risk are exposure risk (measured by exposure at default (EAD) ...
This thesis is focused on the estimation of expected loss for the consumer credit card portfolio. Fo...
In this paper, we set up our default probability model to examine the determinants of corporate cred...
The significance of credit risk models has increased with the introduction of new Basel accord known...
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and pract...
Modelling dependent defaults has long been a central issue for credit risk measurement and managemen...
This report analyzes reduced-from credit risk models, and reviews the three main approaches to incor...
markdownabstractCyclicality in the losses of bank loans is important for bank risk management. Becau...
We model aggregate credit losses on large portfolios of financial positions contracted with firms su...
This report analyzes reduced-form credit risk models, and reviews the three main approaches to incor...
We survey both academic and proprietary models to examine how macroeconomic and systematic risk effe...
We model 1927-1997 US business failure rates using an unobserved components time series model. Clear...
There has been increasing support in the empirical literature that both the probability of default (...
We use an intensity-based framework to study the relation between macroeconomic fundamentals and cyc...
We start by presenting a reduced-form multiple default type of model and derive ab-stract results on...
Two important risk drivers in credit risk are exposure risk (measured by exposure at default (EAD) ...
This thesis is focused on the estimation of expected loss for the consumer credit card portfolio. Fo...
In this paper, we set up our default probability model to examine the determinants of corporate cred...
The significance of credit risk models has increased with the introduction of new Basel accord known...
Credit valuation adjustment has acquired a great deal of attention from both theoreticians and pract...
Modelling dependent defaults has long been a central issue for credit risk measurement and managemen...
This report analyzes reduced-from credit risk models, and reviews the three main approaches to incor...
markdownabstractCyclicality in the losses of bank loans is important for bank risk management. Becau...
We model aggregate credit losses on large portfolios of financial positions contracted with firms su...
This report analyzes reduced-form credit risk models, and reviews the three main approaches to incor...