Vasicek's asymptotic single risk factor (ASRF) model is employed by the Basel Committee
on Banking Supervision (BCBS) in its internal ratings-based (IRB) approach for estimating …

In portfolio credit risk models, correlated credit events are often modelled by means of
correlated latent variables. The latent variables are interpreted as the firms' asset values …

This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant
solution related to expected credit loss modeling. Commonly, credit default swap (CDS) …

Since the introduction of the advanced internal rating based approach through the Basel
framework, financial institutions and regulators have been dealing with the increased …

We apply the CreditMetrics methodology to estimate the credit risk of a portfolio of long-
dated corporate and sovereign bonds issued in emerging markets. Credit risk is …

IFRS 9 and CECL Credit Risk Modelling and Validation covers a hot topic in risk
management. Both IFRS 9 and CECL accounting standards require Banks to adopt a new …

The problem how to evaluate and monitor the quality of credit risk models has recently
received much attention. The discussions about the inclusion of internal models in the Basel …

During the financial crisis that began in 2008, even whole countries and very large
companies defaulted or were on the verge of defaulting. The turmoil made risk managers …