The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling … challenges during CECL implementation. We look back at nine years of account-level credit card data, starting with 2008, over a …

This study applies Real Options Theory to banking in the environment of actively traded Philippine Universal Banks …. These banks exist in an environment of imperfect information with regard to lending, and a country where credit scarcity …

The Current Expected Credit Loss (CECL) framework represents a new approach for calculating the allowance for credit … losses. Credit cards are the most common form of revolving consumer credit and are likely to present conceptual and modeling … challenges during CECL implementation. We look back at nine years of account level credit card data, starting with 2008, over a …

We consider the problem of optimally selecting a large portfolio of risky loans, such as mortgages, credit cards, auto …

We propose a dynamic structural model of credit risk of multiple loan portfolios. In line with Merton, Vasicek and … (macroeconomic) variables. Consequently, the credit risk of each portfolio, quantified by default rate and loss given default …, possibly depends not only on the exogenous variables, but also on historical credit losses of the portfolios.By applying our …

Estimating expected credit losses on banks' portfolios is difficult. The issue has become of increasing interest to …-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit risk disclosed by banks. It uses cross …-sectional analyses to obtain coefficients for estimating each period's measure of expected credit losses. ExpectedRCL substantially …

Estimating expected credit losses on banks' portfolios has long been difficult. The issue has become of increasing … develops a measure of the one-year-ahead expected rate of credit losses (ExpectedRCL) that combines various measures of credit … of expected credit losses. ExpectedRCL performs substantially better than net charge-offs in predicting one …