The Basel CapitalAccord and the 2007 financial crisis have provided renewed impetus
for lenders to research and develop adequate failure prediction models for all of the
corporate and retail sectors of their lending portfolios. The Basel II definition of
financial distress, 90 days overdue on credit agreement payments, is the operational
SIMILAR POSTS
19 August 2021
Edward Altman: Where Are We in the Credit Cycle?
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record [...]
The Link between Default and Recovery Rates: effects on the procyclicality of regulatory capital ratios
This paper analyses the impact of various assumptions about the association between aggregate default probabilities and the loss given default [...]
19 July 2021
The link between default and recovery rates: effects on the procyclicality of regulatory capital ratios
BIS Working Papers are written by members of the Monetary and Economic Department of the Bank for International Settlements, and [...]
