Advanced Internal Rating-Based (AIRB) Approach: Measuring Credit Risk

Learn how the Advanced Internal Rating-Based (AIRB) approach helps financial institutions internally assess credit risk using ...

Essential Guide to Quantifying Credit Risk for Lenders

Learn how to accurately quantify credit risk with key measures such as probability of default, loss given default, and exposure at default for informed lending.
International Monetary Fund

CDS Spreads in European Periphery: Some Technical Issues to Consider

This paper looks at some technical issues when using CDS data, and if these are incorporated, the analysis or regression results are likely to benefit. The paper endorses the use of stochastic ...
Risk

Variance estimation for the quantification of the margin of conservatism category C

Financial institutions have to add a margin of conservatism of type C (MoC C) to their estimates of probability of default in order to account for the statistical uncertainty involved. European ...