This paper provides practical insights into common statistical measures used to validate a model's discriminatory power for the probability of default (PD), loss liven default (LGD) and exposure at default (EAD). The study has more of an informative value without delivering empirical evidence....

A recently introduced accounting standard, namely the International Financial Reporting Standard 9, requires banks to build provisions based on forward-looking expected loss models. When there is a significant increase in credit risk of a loan, additional provisions must be charged to the income...

The risk of counterparty default in banking, insurance, institutional, and pension-fund portfolios is an area of ongoing and increasing importance for finance practitioners. It is, unfortunately, a topic with a high degree of technical complexity. Addressing this challenge, this book provides a...

Part I. The Criteria-based Approach to Credit Assessment and Crdit Rating -- Chapter 1. Credit Analysis and Credit Management -- Chapter 2. Financial Statement Analysis -- Chapter 3. The Criteria-based Approach to Credit Assessment and Credit Risk Rating -- Chapter 4. The Building Blocks of...