In this paper, we provide an overview of the credit model approaches for lifetime impairment
models. The main focus is on the models for credit risk term-structures, which are a …

We present an estimation framework of lifetime expected credit losses in accordance with
IFRS 9. Rooted in the literature of estimating multi-period default probability, the framework …

The 2008 financial crisis revealed a critical flaw in the incurred credit loss model. Banks had
to wait for losses to incur before increasing loss provisions. As a result, the Financial …

Components of Credit Risk• Arrival risk: Uncertainty whether a default will occur or not.
Measured by the probability of default, within a given time horizon, usually one year.• Timing …

Sophisticated new credit risk portfolio modeling techniques have been developed recently,
holding the potential for substantial reform of credit risk management techniques and …

The evaluation of credit portfolio risk models is an important issue for both banks and
regulators. It is impeded by the scarcity of credit events, long forecast horizons, and data …

Approaches for modeling and estimating individual credit risk have been considerably
improved during the last years, and latterly practitioners and researchers in the banking …

Single event survival models predict the probability that an event will occur in the next period
of time, given that the event has not happened before. In the context of credit risk, where one …

In this article, we give various recommendations to boost the performance of credit risk
models. It is based upon more than two decades of research and consulting on the topic …

Among the 'reduced form models' for measuring the credit risk of a bank's portfolio is
CreditRisk+, which provides a closed–form solution for calculating the portfolio loss …