Predmet rada u ovoj doktorskoj disertaciji predstavlja analizu bankarskog i
makroekonomskog okruženja u zemljama Zapadnog Balkana, kao i ispitivanje uticaja …

Credit risk stress testing has become an important risk management device which is used
both by banks internally and by regulators. Stress testing is complex because it essentially …

In recent years, the average spread on newly extended housing loans above the 3-month
interbank interest rate has been consistently higher compared to spreads in neighbouring …

Актуальность. В настоящее время установлен курс на приближение российских
методов оценки рисков, принципов учёта и отчетности к международным стандартам …

This paper considers a definition of through-the-cycle (TTC) as independent from an
economic state that can result in a time-varying TTC probability of default (PD). A top-down …

Analysing model documentation for 17 AIRB and FIRB credit risk models, this paper delivers
IFRS 9 gap analysis of the existing models used for capital adequacy requirements. Based …

The paper argues for the need for and importance of the dual calibration of a probability of
default (PD) model (ie, calibration to both point-in-time (PIT) and through the-cycle (TTC) PD …

With the focus on multi-horizon macroeconomic credit loss projection models in stress
testing and impairments it is of interest to understand how different model assumptions can …

This paper evaluates few of the popular approaches usedfor estimating Expected Credit
Loss (ECL) by embedding the forecasts of future economic conditions as per IFRS 9 …

Los impagos de particulares fueron una de las causas de la última crisis financiera dando
lugar a una necesidad de comprender todo lo relacionado con el riesgo de crédito de los …