IFRS9 Credit Model budgets can be reduced by up to 30%
Articles
29 Nov 21

IFRS9 Credit Model budgets can be reduced by up to 30%

We calculate in an illustrative benchmark exercise described in this article, that banks could save up to 30% of their credit model operating budgets by utilizing a single, holistic IFRS9 model architecture.
ZRE Coronavirus PIT ECL Impact Analysis 23-MAR-20
Articles
23 Mar 20

ZRE Coronavirus PIT ECL Impact Analysis 23-MAR-20

Indirect effects on a US/UK hypothetical credit portfolio as of March 23, 2020
ZRE Coronavirus PIT ECL Impact Analysis 16-MAR-20
Articles
16 Mar 20

ZRE Coronavirus PIT ECL Impact Analysis 16-MAR-20

Indirect Effects on a US/UK Hypothetical Credit Portfolio as of March 16, 2020
Inaccuracies Caused by Hybrid Credit Factors
Articles
17 Sep 19

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.
Stress Understatement Using GDP Drivers
Articles
5 Jun 19

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.
Variance Compression Bias in Expected Credit Loss Estimates Derived from Stress-Test Macroeconomic Scenarios
Articles
11 Apr 19

Variance Compression Bias in Expected Credit Loss Estimates Derived from Stress-Test Macroeconomic Scenarios

Risk.net Article
Articles
28 Jun 17

Risk.net Article

In this Risk.net 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.
Comments in response
Articles
24 Apr 17

Comments in response

Comments in response to “A point-in-time–through-the-cycle approach to rating assignment and probability of default calibration”
Some options for modelling Significant Deterioration in IFRS9
Articles
22 Sep 16

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. Final version published in Journal of Risk Model Validation, Q3 2016 edition.
Risk.net Article
Articles
11 Aug 16

Risk.net Article

Article about Z-Risk Engine developers titled 'The new A to Z of risk modelling' published in the August edition of Risk magazine, describing the evolution of the PIT/TTC framework and the journey taken by Z-Risk Engine developers.
Convexity and Correlation Effects in Expected Credit Loss calculations for IFRS9/CECL and Stress Testing
Articles
28 Jun 16

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
Point in Time LGD and EAD models for IFRS/CECL and Stress Testing
Articles
22 Mar 16

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.
Biased Benchmarks
Articles
17 Jun 15

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.
Comment in response
Articles
15 Jul 13

Comment in response

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.
Designing and Implementing a Basel 2 Compliant PIT-TTC Ratings Framework
Articles
23 Jan 07

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

This journal article provides the foundation of PIT-TTC Ratings framework.
Point-in-Time versus Through-the-Cycle Ratings
Articles
28 Oct 04

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

This journal article provides the foundation of PIT-TTC Ratings framework.
Enterprise Credit Risk Management
Articles
11 Dec 01

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.
Implementing a Comprehensive Credit-Risk-Management System - The Case of Hanvit Bank
Articles
18 Apr 01

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.
Building a Credit Risk Valuation Framework for Loan Intruments
Articles
14 Dec 00

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.
A one parameter representation of credit risk and transition matrices
Articles
23 Nov 98

A one parameter representation of credit risk and transition matrices

This journal article presents a one-parameter representation of credit risk and transition matrices.
Expect the unexpected
Articles
20 Oct 98

Expect the unexpected

In this journal article, we develop a direct approach to measuring credit risk at the transaction level.
Improving Quantification of Risk-Adjusted Performance Within Financial Institutions
Articles
17 Jun 98

Improving Quantification of Risk-Adjusted Performance Within Financial Institutions

This journal article demonstrates ways to improve quantification of risk-adjusted performance within financial institutions
Creating Value From Both Loan Structure and Price
Articles
18 Mar 98

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.
The effect of systematic credit risk on loan portfolios and loan pricing
Articles
4 Mar 98

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.
Incorporating New Fixed Income Approaches Into Commercial Loan Valuation
Articles
10 Feb 98

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.