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<span lang="EN-US"><span style="font-size: small; font-family: Times New Roman;">A retail bank consumer loan dataset is used to develop logistic regression based scoring functions with different definitions of default from a very broad to a narrow or hard. The performance of the scoring functions is compared with respect to the hard definition of default which indicates real...</span></span>

<em style="mso-bidi-font-style: normal;"><span lang="EN-US"><span style="font-family: Times New Roman; font-size: small;">The paper proposes a two systematic factor model to capture a retail portfolio probability of default (PD) and loss given default (LGD) parameters, in particular their mutual correlation. We argue that the standard one factor models standing behind the Basel II formula and used by a number of...</span></span></em>

We investigate valuation of volatility sensitive interest rate derivatives like the derivatives involving LIBOR or swap rates in arrears. The paper studies several alternatives of the standard convexity adjustment formula, in particular, a precise analytical formula based on an assumption of...

The bank regulation embodied in the Basel II Accord has opened-up a new era in estimating recovery rates or complementary loss given default in the retail lending credit evaluation process. In this paper we investigate the properties of survival analysis models applied to recovery rates in order...