In this paper, we develop a factor-type latent variable model for portfolio credit risk that accounts for stochastically dependent probability of default (PD), loss given default (LGD) and exposure at ...

IFRS 9 implementation is a very significant effort for the banks globally. A key element of IFRS 9 is a forward-looking “expected credit loss” (ECL) impairment model, which represents a paradigm shift ...

Basel's "Principles for the effective management and supervision of climate-related financial risks" puts forward expectations that banks should integrate transition and physical risks into ...

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default ...