The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit …, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling …

The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit …, a key implementation element. Our analysis focuses on three major themes: defaults, balances, and credit loss. Our … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling …

the case of large, overlapping credit portfolios. We analytically calculate the multivariate joint loss distribution of … several credit portfolios on a non-stationary market. To take fluctuating asset correlations into account, we use an random … number of parameters. We show that, for two disjoint credit portfolios, diversification does not work in a correlated market …

the loss distribution and multi-name credit derivatives prices. An empirical exercise illustrates the flexibility of our … standard models as special cases. The loss distribution of a portfolio of contingent claims can be exactly and efficiently … approach by fitting credit index tranche prices …