After the financial crisis, the European Banking Authority (EBA) has established tighter standards around the definition of default (Capital Requirements Regulation CRR Article 178, EBA/GL/2017/16) to increase the degree of comparability and consistency in credit risk measurement and capital...

This reprint concerns methods of data analysis for risk management in economics, finance, and business. The presented papers contain research on data analysis methods, including classical statistical methods, and machine learning methods that have emerged from statistics and are being...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

Diese Arbeit besteht aus drei, sich unabhängig voneinander erschließenden Artikeln,die sich alle mit dem Thema Risikomanagement in der Bankenindustrie befassen. Im ersten Artikel (Kapitel 2) werden die vier zur Zeit in der Praxis am häufigstenverwendeten Kreditrisikomodelle analysiert. Fokus...

The in-house credit assessment systems (ICASs) developed by euro area national central banks (NCBs) are an important source of credit risk assessment within the Eurosystem collateral framework. They allow counterparties to mobilise as collateral the loans (credit claims) granted to non-financial...

Los sistemas de evaluación del crédito desarrollados internamente por los bancos centrales nacionales (ICAS) son una fuente importante de valoración del riesgo de crédito dentro del marco de los activos de garantía de política monetaria del Eurosistema. En particular, los ICAS permiten que...

A credit risk model suitable for agricultural lenders is identified. The model incorporates sector correlations and is applied to the loan portfolio of an agricultural credit association to create a distribution of loan losses. The distribution is used to derive the lender’s expected and...

A major topic in empirical finance is correlation of default risk. Correlations are the main drivers for credit risk on a portfolio basis and for banks� capital requirements under the New Basel Accord. However, empirical evidence on the magnitude of correlations is rather scarce, mainly due to...

Starting from the Merton framework for firm defaults, we provide the analytics and robustness of the relationship between default correlations. We show that loans with higher default probabilities will not only have higher variances but also higher correlations between loans. As a consequence,...

The importance of credit risk assessment and monitoring has increased since the recent financial turmoil. This paper presents a toolkit for credit risk modeling that follows the top-down approach proposed by Wilson (1997). The analysis is conducted separately for the household and corporate...