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 ...

Collateral Analytics has launched the CA Credit Risk Model. This new patent pending product is designed to offer quantitative measures of the risk and cost of potential borrower default embedded in a ...

The key function of banks in the real world is endogenously creating (inside) money. But they do so facing solvency, liquidity and maturity risks and being subject to regulatory and demand constraints ...

Long-term forecasts for impairment and capital are often built on the assumption that tomorrow will broadly resemble yesterday. Historical shock events such as the 1997 Russian debt default, the 2008 ...

The European Central Bank is considering pushing banks to use loan data from the region’s historic banking crisis when predicting future credit defaults, a move that could result in lower capital ...

Structural models of default are widely used to analyze corporate bond spreads, but have generally been unable to explain why risk premiums are as high as they are. This credit spread puzzle can be ...

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 piece is part of a series benchmarking bank climate risk management practices. Risk Management subscribers can view selected cuts of the underlying data here. Sign up for Risk Benchmarking emails ...

Thomson Reuters has introduced a new model that includes forward-looking analyst estimates to assess the credit risk of publicly traded companies. Automated traders can incorporate it via a daily data ...

Before ChatGPT could write essays, explain tax code, or summarize earnings reports, it had to master something far simpler but no less profound: probability. While headlines may credit “artificial ...