Haku
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When uncertainty decouples expected and unexpected losses
(26.01.2022)
Bank of Finland Research Discussion Papers 4/2022
Bank of Finland Research Discussion Papers 4/2022
A parsimonious extension of a well-known portfolio credit-risk model allows us to study a salient stylized fact – abrupt switches between high- and low-loss phases– from a risk-management perspective. As uncertainty about ...
Forecasting expected and unexpected losses
(21.12.2020)
Bank of Finland Research Discussion Papers 18/2020
Bank of Finland Research Discussion Papers 18/2020
Extending a standard credit-risk model illustrates that a single factor can drive both expected losses and the extent to which they may be exceeded in extreme scenarios, ie “unexpected losses.” This leads us to develop a ...