Credit risk
Estimating the impact of climate change on credit risk
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.
Europe’s lenders sail into uncharted waters of the banking book
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Market eyes emerging market CDS index expansion
Participants hope changes will help transform single-name volumes into greater index activity
RBC’s loan-underwriting VAR drops 59% as volumes dry up
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
US Basel endgame hits clearing with op risk capital charges
Dealers also fret about unlevel playing field compared with requirements in the EU
Impaired loans surpass pandemic peaks at CIBC, Scotiabank
At five Canadian banks, troubled loans up 40% year-on-year
ECB mulls intervention on uneven banking book reporting
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
Iosco warns of leveraged loan ‘vulnerabilities’
As recovery rates plummet, report calls for clearer covenants and more transparency on addbacks
How Chenavari is adapting to an uncertain macro regime
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
The Fed’s stress test models are inaccurate. Something has to change
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates
UBS leapfrogs global peers following Credit Suisse takeover
Swiss lender reports big increases in RWAs, leverage exposures and other key metrics
US banks see net charge-offs up 21% in Q2
Synchrony and Discover lead rise, predicting rates might peak in 2024
Goldman most threatened by Fed’s rejig of modelled capital charges
End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements
Navigating market turmoil with robust credit risk management
In today's fast-paced and ever-evolving financial world, firms must master credit risk management to navigate market volatility. This webinar explores the dynamics of credit risk management and offers insight into risk assessment techniques, challenges…
Understanding and predicting systemic corporate distress: a machine-learning approach
The authors construct a machine-learning-based early-warning system to predict, one year in advance, risks of systemic distress and demonstrate factors which can predict corporate distress.
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Default forecasting based on a novel group feature selection method for imbalanced data
The authors construct a group feature selection method which combines optimal instance selection with weighted comprehensive precision in an effort to improve the performance of prediction models in relation to defaulting firms.
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Trading risks and a spotlight on XVA
Panellists at Risk Live Europe 2023 discussed the usefulness, limitations and outlook for valuation adjustments
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Partial relief for synthetic securitisation in final EU rules
Internal model banks will see punitive multiplier reduced, but standardised banks miss out
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief