The Basel Accords have created the need to develop and implement models for probability of default (PD), loss given default (LGD) and exposure at default (EAD). Although PD is quite well researched, ...

Basel's "Principles for the effective management and supervision of climate-related financial risks" puts forward expectations that banks should integrate transition and physical risks into ...

Managing the credit risk inherent to a corporate credit line is similar to that of a term loan, but with one key difference. For both instruments, the bank should know the borrower’s probability of ...

We analyze the market assessment of sovereign credit risk using a reduced-form model to price the credit default swap (CDS) spreads, thus enabling us to derive values for the probability of default ...