The Basel Accords have created the need to develop and implement models for PD, LGD and EAD. Although PD is quite well researched, LGD and EAD still lag both in theoretical and practical aspects. This paper proposes some empirical approaches for EAD/LGD modelling and provides technical insights...

Models for a continuous risk outcome has a wide application in portfolio risk management and capital allocation. We introduce a family of interval distributions based on variable transformations. Densities for these distributions are provided. Models with a random effect, targeting a continuous...

In the process of loan pricing, stress testing, capital allocation, modeling of PD term structure, and IFRS9 expected credit loss estimation, it is widely expected that higher risk grades carry higher default risks, and that an entity is more likely to migrate to a closer non-default rating than...

Common ordinal models, including the ordered logit model and the continuation ratio model, are structured by a common score (i.e., a linear combination of a list of given explanatory variables) plus rank specific intercepts. Sensitivity with respect to the common score is generally not...