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EBA warns banks over loan-loss model tinkering

Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated ....

European Banking Authority , Deutsche Bank , European Banking Authority Eba , Credit Risk , Credit Risk Modelling , Ifrs 9 , Risk Management ,

A prudent loss given default estimation for mortgages. II - Journal of Risk Model Validation

This paper introduces a prudent methodology to accurately estimates loss given default for mortgage portfolios and to stress test those portfolios effectively. ....

Risk Model Validation , Ifrs 9 , Oss Given Default Lgd , Xposure At Default Ead , Residential Mortgages , Original Research ,