Polynomial generalisation of discrete PD calibration for continuous direct estimation
In our previous article, we presented a heuristic for optimal clustering of risk ranking scores in time series data, to achieve robust PD...
About Me
Alexander is the Deloitte NSE content lead for banking book credit risk methodology. He had 10+ years' risk management experience in credit risk quantification for capital and impairment, deep knowledge of regulation, and insight into business impacts. Alexander is also a classically-trained musician and holds MEng MA (Cantab.) degrees in Engineering.
Alexander Marianski's Passles
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Optimal clustering for PD calibration in the presence of noise
One question that we are often asked, is how many grades should a probability of default (PD) calibration employ, under discrete...
Estimating grade-level long-run average default rates using back-cast extrapolation: Theoretical discussion and experimental results
In our previous article, we explored how seemingly reasonable and small variations in assumptions can result in a wide range of...
Estimating PD Cyclicality in the presence of noise: Theoretical discussion and experimental results
1/1/22 heralded not only the new year, but the compliance date for UK firms' implementation of the "EBA Roadmap" to reduce unwarranted...
Schrödinger's COVID revisited: Once in a blue moon?
Since the onset of the COVID-19 pandemic, we have been estimating Lifetime Expected Credit Losses (LECL) for a pair of benchmark...
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