We develop a PD model (PD – probability of default) for sub-sovereign entities, namely UK municipalities. Our methodology serves as an alternative for banks that use the standardised approach or scorecard-based models for assessing the probability of default for municipalities, local...

This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM). It advises on the introductory steps for validating the backtesting process and reviews the available statistical tests for calibration, discrimination...

This study investigates the contemporary role of banks' treasuries and shows how the trea-sury function is being transformed across the banking sector. Using a sample of internationalsurveys of banks representing both emerging and advanced markets (with 35% of banks rep-resenting the...

Based on qualitative empirical research, we examine the extent to which Central European emerging stock markets were affected by the recent international financial crisis, and how the current investment climate influences investments in Polish equities. We find that global financial crisis...

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....

Addressing the need for greater transparency and control over the shadow banking system, this paper designs a macroprudential tool that serves to ensure greater financial stability through identifying and managing systemic risk posed by the shadow banking investment funds. In particular, the...