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 ...

Khrystyna Voloshyn, Data Scientist, Tamarack Technology Scott Nelson, Chief Technology and Chief Product Officer, Tamarack Technology Static credit models freeze ...

This paper introduces a continuous-time extension to the influential CreditRisk+ model for portfolio credit risk modeling. For capital calculations it introduces a risk measure based on the maximum of ...

Learn how the Advanced Internal Rating-Based (AIRB) approach helps financial institutions internally assess credit risk using key metrics like LGD, EAD, and PD.

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 ...

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 ...

A visionary business analyst and product owner with 18 years of proven track record in driving industry-transforming financial solutions in the UK, Olubunmi Martins-Afolabi possesses exceptional ...

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 ...

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 ...

David Croen, Head of Risk Products at Bloomberg L.P., was interviewed by Alison Fletcher, a Corporate Treasury Specialist at Bloomberg, on what customers have faced when evaluating credit rate risk ...

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