Article

Inaccuracies Caused by Hybrid Credit Factors

Explaining the way in which hybrid models differ from PIT ones and presenting evidence that many banks are struggling with PIT estimates which are extremely important for accurate IFRS9/CECL and stress test assessments.

September 2019
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Article

Stress Understatement Using GDP Drivers

To obtain accurate estimates of cyclical variations in credit losses, banks must include fully PIT, market-value-related, risk factors as drivers. Otherwise, the results would understate intertemporal variations related to the credit cycle.

June 2019
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