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Modeling credit risk in the presence of central bank and government intervention - Journal of Risk Model Validation

In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for ....

Us Federal Reserve Bank , Reserve Bank , Credit Risk Modelling , Basel Ii , Ifrs 9 , Robability Of Default Pd , Original Research ,

PRA's model clampdown costs NatWest 157bp of CET1 ratio

Measures to remedy internal model deficiencies added £14.8 billion RWAs overnight ....

United Kingdom , Natwest Group Common Equity Tier , Prudential Regulation Authority , Stricter United Kingdom , Natwest Group , Common Equity Tier , Lloyds Banking Group , Prudential Regulation Authority Pra , Natwest Group , Nited Kingdom Uk , Capital Floor , Nternal Ratings Based Irb Approach , Oss Given Default Lgd , Robability Of Default Pd , Residential Mortgages , Isk Weighted Assets Rwas , Isk Quantum ,

The loss optimization of loan recovery decision times using forecast cashflows

In this paper, a theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimized. ....

South Africa , South African , Credit Loss Estimation , Robability Of Default Pd , Xposure At Default Ead , Original Research ,

A structural credit risk model based on purchase order information

This paper proposes a credit risk model based on purchase order information to address the deficiencies of monitoring methods that use only financial ....

Credit Risk , Robability Of Default Pd , Alternative Data , Original Research ,

Bank-sourced transition matrixes: are banks' internal credit risk estimates Markovian?

This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes. ....

European Central Bank , Risk Management , Credit Risk , Robability Of Default Pd , Original Research ,