Over the course of the recession during the last six years, central bank officials in Croatia have on numerous occasions stated there is a strong need for structural reforms in Croatia and that there is no need for monetary policy reforms. This short paper investigates why the CNB is only...

This paper presents the concepts and methods used for credit risk measurement. The main objective was to explain Internal Ratings-Based Methods. The applicatin and analysis was performed on financial information for supposed business case loan, as well as a simulated banking transaction database...

В статье представлены подходы к моделированию вероятности дефолта корпоративных заемщиков на примере компаний строительной отрасли на основе моделей...

The increased role of financial institutions in the economy leads to a need to determine those that are systemically important. The bankruptcy of such institutions creates negative effects for the economy on the global scale. The aim of this article is to identify important financial...

We derive multivariate risk-neutral asset distributions for major US financial institutions (FIs) using option implied marginal risk-neutral asset distributions (RNDs) and probabilities of default (PoDs). The multivariate densities are estimated by combining the entropy approach, dynamic copulas...

How to forecast next year’s portfolio-wide credit default rate based on last year’s default observations and the current score distribution? A classical approach to this problem consists of fitting a mixture of the conditional score distributions observed last year to the current score...