Purpose: In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using cumulative accuracy profile (CAP) and receiving operating characteristic curves. The purpose of this paper is to use the statistics of the CAP curve to provide a...

French Abstract: Le but de ce cours est, d'une part de décrire l'ensemble de la chaîne du risque de crédit dans la banque (marché du crédit cash et dérivé, gestion du risque, mesure de performance, allocation de capital et gestion d'un portefeuille bancaire), et d'autre part de donner aux...

The risk of securitization exposures comes from credit risk on the underlying pool of assets or collateral. Peeks in credit risk may lead to high losses for equity and mezzanine tranches, and may lead to some losses on senior tranches as well. Additionally to credit losses, commingling risk or...

Most of the banks' operational risk internal models are based on loss pooling in risk and business line categories. The parameters and outputs of operational risk models are sensitive to the pooling of the data and the choice of the risk classification. In a simple model, we establish the link...

The recent publication of the IFRS 9 norms related to collective provisions for non defaulted instruments has settled a new vision to banking book portfolios. In this paper we show that the IFRS 9 provision measured through the Expected Credit Loss (ECL), inspired from a market vision on loan...

In machine learning applications, and in credit risk modeling in particular, model performance is usually measured by using CAP and ROC curves. The purpose of this paper is to use the statistics of the CAP curve to provide a new method for credit PD curves calibration that are not based on...

Internal models of operational risk are all built based on the same guidelines provided by the regulators. However, we observe a broad range of practices among banks concerning modeling choices and calibration methods. It is thus relevant to discuss the relative importance of the main drivers...

Many asymptotic formulas exist for unrestricted integer partitions as well as for equal partitions of integers into a finite number of parts. We use an analogy with fermion gases and the tools of statistical physics to derive asymptotic formulas for distinct partitions with a large but finite...