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51. The Impact of IFRS9 on Provisioning Behavior in Banks during Economic Shocks

This article discusses the impact of the International Financial Reporting Standard 9 (IFRS9) on provisioning behaviour in banks, particularly during economic shocks like the COVID-19 pandemic and…

52. Enhancing PD Estimation under IFRS 9: A Detailed Exploration of the Z-Score Approach

The European Parliament and Council have reached their agreement on the amendments to the Solvency II Directive. The revised Directive will be passed to the member states to be adopted.

53. The Language War in Credit Risk Modelling: SAS, Python or R?

The three languages were compared using a simple setup, as close as possible to a real-life situation. The exercise consisted in calibrating a logistic regression to identify loans likely not to be…

54. Low Default Portfolios: Modelling and Calibration Approaches

The accurate estimation of the credit risk parameters is crucial for provisioning under IFRS9 and capital requirements (when using an IRB approach) as well as for setting up strategies for pricing,…

55. COVID-19 AND BANKING

This article analyses the effects of the COVID-19 from a bank’s credit risk point of view. First, it assesses how COVID-19 hurts the economy, the way the risk profiles of stock and potential clients…

56. COVID pandemic: to what extent did the Basel standards improve the bank resiliency

Was the ability of banks to navigate through COVID 19 crisis substantially bolstered by the Basel reforms?
The article draws on a series of studies conducted by BCBS. The studies mostly…

57. SA-CCR: The New Standardised Approach to Counterparty Credit Risk

With the SA-CCR differing substantially from the prior non-internal methods, there is significant work to be done by institutions to comply with the new regulatory requirements while minimizing the…

58. A practical approach to predicting the IFRS9 Macroeconomic Forward-Looking PD

This article introduced a practical and end-to-end approach to model Point-in-Time PD in a manner that includes Forward-Looking Information for IFRS9 ECL calculation. Different techniques may produce…

59. Sorrows of Credit Risk Model Validation

This article introduces the challenges of the ECB supervised entities regarding their internal validation of the IRB Approach. It also considers a benefit of use of Model Validation tool.

60. Data management steps in credit risk modelling

This article discusses the main steps of data preparation, which determine the required fields/attributes that represent the baseline for model development where relevant data quality controls are…

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