Trends & Commentaries
Gauging Credit Risk Drivers Using Absolute Contribution And Sensitivity Analysis
December 5, 2016 //
Statistical credit models enable fast and quick assessment of many counterparties at once, and thus offer a great way of scaling credit risk analysis in an efficient way. State-of-the-art models make use of a variety of inputs, including financial ratios, macro-economic and socio-economic indicators (such as country and industry risk), combined in a logistic regression…
Risk Insight: Internal Default Risk Models – Alive And Kicking?
November 1, 2016
On 24 March 2016, the Basel Committee on Banking Supervision issued a controversial proposal to limit and, in some cases, remove the use of internal models to calculate capital requirements for credit risk in the banking book. Watch Cristiano Zazzara discuss this topic in our 2-minute video: The Committee proposed to adopt a “Standardised” framework…
Announcing the New Credit Market Pulse!
November 1, 2016 //
Welcome to the new Credit Market Pulse from S&P Global Market Intelligence, your deep dive into credit risk delivered direct to your inbox each quarter! We took our most crucial data, analytics and default models to provide actionable ideas around sovereign and regional trends, industry shifts, changes in creditworthiness of some of the biggest movers…