Risk

Basel requirements of downturn loss given default: modeling and estimating probability of default and loss given default correlations

Basel II requires that banks use downturn loss given default (LGD) estimates in regulatory capital calculations, citing the fact that the probability of default (PD) and LGD correlations are not ...
International Monetary Fund

CDS Spreads in European Periphery: Some Technical Issues to Consider

This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic ...
International Monetary Fund

Estimating Default Frequencies and Macrofinancial Linkages in the Mexican Banking Sector

Disclaimer: This Working Paper should not be reported as representing the views of the IMF.The views expressed in this Working Paper are those of the author(s) and do not necessarily represent those ...
Institutional Investor

Bank of America Adopts AI, Finds ‘More Significant Credit Stresses’ From Covid-19

Bank of America Corp. has begun using artificial intelligence to predict the likelihood of companies defaulting on loans. “Today we present our inaugural work on applying the latest machine learning ...
JSTOR Daily

A Probability Based Approach to Estimating Costs of Capital for Small Business

While discount rates of listed companies can be readily estimated using "betas" and the Capital Asset Pricing Model, the same is not true for small business. Entrepreneurs often have to rely on ...
JD Supra

EBA consults on draft guidelines on application of definition of default and applying credit conversion factors under CRR

The European Banking Authority (EBA) has published two consultation papers under the Capital Requirements Regulation (CRR), as amended by the revised Capital Requirements Regulation (CRR III). The ...