This paper examines consistency in the estimates of probability of default (PD) and loss given default (LGD) that nine …

We find that that the Current Expected Credit Loss (CECL) standard would slightly dampen fluctuations in bank lending …

Operational risk models, such as the loss distribution approach, frequently use past internal losses to forecast … operational loss exposure. However, the ability of past losses to predict exposure, particularly tail exposure, has not been … thoroughly examined in the literature. In this paper, we test whether simple metrics derived from past loss experience are …