The risk of securitization exposures comes from credit risk on the underlying pool of assets or collateral. Peeks in credit risk may lead to high losses for equity and mezzanine tranches, and may lead to some losses on senior tranches as well. Additionally to credit losses, commingling risk or...

The recent publication of the IFRS 9 norms has emphasized the fact that a shared and comprehensive methodology for PD analytics on credit portfolios was still lacking. Credit risk assessment is often static and short term because the industry has focused on assessing risk over a one year...

The recent publication of the IFRS 9 norms related to collective provisions for non defaulted instruments has settled a new vision to banking book portfolios. In this paper we show that the IFRS 9 provision measured through the Expected Credit Loss (ECL), inspired from a market vision on loan...