European regulators turn up the heat on IFRS 9 model overlays
After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments
Source: risk.net
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Nationwide's IRB charges up 89% on PRA's parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
Source: risk.net
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time and
Source: risk.net