product of exposure at default (EAD), probability of default (PD), and loss given default (LGD) of the loan. Simple weighted … (by EAD) means of PD and LGD are intuitive summaries however they do not satisfy a reconciliation property whereby their …, especially when trying to ascertain whether changes in EAD, PD, or LGD are responsible for a change in EL. We propose means for …

In this study, we consider the construction of through-the-cycle ("TTC") PD models designed for credit underwriting … uses and point-in-time ("PIT") PD models suitable for early warning uses, considering which validation elements should be … emphasized in each case. We build PD models using a long history of large corporate firms sourced from Moody's, with a large …

to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

to holders of commercial mortgage-backed securities (CMBS). Using detailed micro data, we show that cash flow shocks … during the COVID-19 pandemic predict CRE mortgage delinquency, especially those stemming from lease expiration of offices …

this risk driver is subsequently reflected through the movement of appropriate transmission mechanisms on the LGD and PD …; the transmission of these effects into a depreciation formula for the individual property; the LGD stress associated with … the devaluation of the collateral property, and the PD stress that goes along with it, obtained by correlation. …