Conventional stress-testing in credit risk management may considerably underestimate
economic losses associated with the most negative scenarios. In this paper, we show that in …

In banking practice, rating transition matrices have become the standard approach of
deriving multi-year probabilities of default (PDs) from one-year PDs, the latter normally being …

In the last decade rating-based models have become very popular in credit risk
management. These systems use the rating of a company as the decisive variable to …

Inhaltsangabe: Abstract: We discuss the main approaches to quantify the risk of losses
arising from a defaulting counterparty to a financial transaction that have been developed …

Transition matrices are an important determinant for risk management and VaR calculations
in credit portfolios. It is well known that rating migration behavior is not constant through …

This paper demonstrates that the convexity of PD functions as well as the correlation among
probability of default (PD), loss given default (LGD) and exposure at default (EAD) outcomes …

The estimation of portfolio expected credit loss is required for International Financial
Reporting Standard 9 (IFRS9) regulatory purposes. This starts with the estimation of …

The paper gives a survey on recent developments on the use of numerical methods in rating
based Credit Risk Models. Generally such models use transition matrices to describe …