Article

Risk.net Article, June 17

Featured in the June edition of Risk.net, this article on the potential volatility of IFRS9 loss projections where Z-Risk Engine (ZRE) MD, Dr Scott D. Aguais provides key commentary and explanation on how the ZRE solution is well placed to meet these new challenges.

June 2017
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Article

Some Options for modelling Significant Deterioration in IFRS9

In this study, we model IFRS9 Significant Deterioration from an end-to-end perspective covering topics such as PIT PD term structure, data based triggers, trigger design, threshold levels and implementation. 

Published Journal of Risk Model Validation, Q3 2016 edition

Contact us for the final published article or access it directly here.

September 2016
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Article

Risk.net Article, August 2016

Article about Z-Risk Engine developers titled 'The new A to Z of risk modelling' published in the August edition of their magazine, describing the evolution of the PIT/TTC framework and the journey taken by Z-Risk Engine developers.

August 2016
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Article

Convexity and Correlation Effects in Expected Credit Loss calculations for IFRS9/CECL and Stress Testing

In this study, we demonstrate that the convexity of PD functions together with correlation among PD, LGD, and EAD outcomes impart skewness to the credit-loss, probability distribution function (PDF) and  increase the expected credit losses (ECLs) by as much as 20% or more.

This article will be published in Journal of Risk Management in Financial Institutions (JRMFI) Volume 9 / Number 4 / Autumn, 2016

June 2016
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Article

Point in Time LGD and EAD models for IFRS/CECL and Stress Testing

In this journal article, we offer options for formulation of PIT LGD and EAD models, and show that, by accounting for the probabilistic evolution over time in industry-region credit-cycle indices, one can derive joint, PD, LGD, EAD scenarios for use in IFRS9/CECL and Stress Testing.

Contact us for the final published article or access it directly here.

March 2016
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Article

AERB: Developing AIRB PIT-TTC PD models using External CRA Ratings

In this journal article, we propose a class of ‘Agency Replication’ models that are extremely useful in cases where a credit institution has limited default samples.

Contact us for the final published article or access it directly here.

December 2015
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Article

Biased Benchmarks

In this journal article, we show evidence that indicates that benchmarks like agency ratings have over the last 11 years, been exaggerating default risk for corporate entities.

Contact us for the final published article or access it directly here.

June 2015
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Article

Comment in response to A methodology for point-in-time–through-the-cycle probability of default decomposition in risk classification systems

In this journal article, we critique Carlehed and Petrov's PIT/TTC methodology and refute some of their claims

Contact us for the final published article or access it directly here.

July 2013
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Article

Designing and Implementing a Basel 2 Compliant PIT-TTC Ratings Framework

This journal article provides the foundation of PIT-TTC Ratings framework.

January 2007
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Article

Point-in-Time versus Through-the-Cycle Ratings

This journal article provides the foundation of PIT-TTC Ratings framework.

January 2004
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Article

Enterprise Credit Risk Management

This journal article motivates the development of a framework for integrating credit risk and reward across the enterprise and describes its necessary components.

December 2001
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Article

Implementing a Comprehensive Credit-Risk-Management System - The Case of Hanvit Bank

This journal article describes development and implementation of the key credit-risk analytic applications at Hanvit Bank.

April 2001
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Article

Building a Credit Risk Valuation Framework for Loan Intruments

This journal article presents a general option-valuation framework for loans that provides valuation information at loan origination and supports mark-to-market analysis, portfolio credit risk and asset and liability management for the entire portfolio.

December 2000
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Article

A one parameter representation of credit risk and transition matrices

This journal article presents a one-parameter representation of credit risk and transition matrices

November 1998
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Article

Expect the unexpected

In this journal article, we develop a direct approach to measuring credit risk at the transaction level.

October 1998
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Article

Improving Quantification of Risk-Adjusted Performance Within Financial Institutions

This journal article demonstrates ways to improve quantification of Risk-Adjusted Performance Within Financial Institutions

June 1998
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Article

Creating Value From Both Loan Structure and Price

Shrewd pricing and structuring of loans can enable a bank to satisfy customers’ needs while meeting its own risk/return requirements. This journal article describes a pricing method that uses net-present-value analysis to examine trade-offs between price and structure.

March 1998
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Article

The effect of systematic credit risk on loan portfolios and loan pricing

In this journal article, we discuss the effect of systematic credit risk on loan portfolios and loan pricing by treating correlations as arising from a single systematic risk factor.

March 1998
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Article

Incorporating New Fixed Income Approaches Into Commercial Loan Valuation

Accurate loan pricing has never been more complex than it is today and it has never been more critical to price accurately. This journal article discusses differences between some traditional and more sophisticated methodologies

February 1998
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