A Credit Risk Perspective http://volatility.brannan.org en-gb Sat Apr 24 22:30:03 2004 Alan Greenspan likes what he sees at US banks http://volatility.brannan.org/default.html#Greenspan Operating with better information does not mean that banks will necessarily reduce credit availability for riskier borrowers. It does mean that banks can more knowingly choose their risk profiles and price risk accordingly. Random Talebness http://volatility.brannan.org/default.html#Taleb I agree with Taleb on many fronts. His book, Fooled By Randomness is worth a read. I'd lend you my copy, but someone else took it and didn't give it back....now I've forgotten who it was. van Deventer and Jarrow http://volatility.brannan.org/default.html#Pursuitofperfection The pursuit of perfection is credit risk modeling will continue for decades.... Roll up, roll up....it's the magical MTM tour http://volatility.brannan.org/default.html#MTMbet I have submitted a prediction to longbets.org that marking to market will not be required by US bank regulators or accountants before 2024, that's 20 years, by which time I expect to have retired. LGD, LGD, LGD is that all you think about? http://volatility.brannan.org/default.html#StressLGDs The question of what, precisely, the LGD used in portfolio modeling is supposed to represent is turning out to be very hard to pin down. LGD Discount - a continuing saga http://volatility.brannan.org/default.html#LGDDiscountthinking I keep wrestling with the issue of deciding on the discount rate to use when estimating LGD. I find it hard to avoid the conclusion that the rate of return required by investors to hold distressed assets includes a premium for the uncertain economic value of the asset, and as such is not an appropriate discount rate to determine the expected economic value of those assets. From the CIA http://volatility.brannan.org/default.html#CIAreport Actuaries have much to learn from these developments about the practice of credit risk analysis Moody's Loan Recovery Study http://volatility.brannan.org/default.html#Moodys_04_loan_recovery Update to Moody's Loan recovery analytics Moody's Muni rating performance vs. Corporates http://volatility.brannan.org/default.html#Moodys_muni_ratings Moody's municipal ratings don't mean the same thing as their corporate ratings. Bundesbank papers http://volatility.brannan.org/default.html#Bundesbank_research Some stuff from the Bundesbank