Credit risk
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Benchmarking machine learning models to predict corporate bankruptcy
Based on a comprehensive sample, the authors benchmark machine learning models in the prediction of financial distress of publicly traded US firms, with gradient-boosted tress outperforming other models in one-year-ahead forecasts.
Bank of the West brings C$730m in loan provisions to BMO
Acquired book comes with 2.5x the quarterly charges booked by BMO standalone
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
This paper proposes the chi-squared with recursive feature elimination method: a means of feature-selection which aims to improve classification performance using fewer features.
Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
The authors put forward a method using a support vector machine to enhance the exploration of nonlinear covariate effects if SMEs never default while also considering time-varying and fixed covariates for the incidence and latency of an event.
Bank of the West sale lops 13% off BNP Paribas’s CRE exposure
Disposal of US lender included €11.1bn in loans to creaky sector
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Goldman’s sale of Marcus drives record PCL release
Partial disposal of retail arm costs bank $470 million, but nets first release into income since Q2 2021
Asia moves: Senior hires at Citi, Nomura and more
Latest job news from across the industry
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
The authors investigate the effect of spillover effects from private sector risks on sovereign debt risk and the impact of rising sustainability risks on sovereign credit risk using the XGBoost classification algorithm and model interpretability…
Credit Suisse CDSs offer no reprieve for AT1 losses
Legal experts pore over credit definitions after AT1 writedown
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022
Fed’s climate stress test whips up storm for banks
Long-awaited US climate risk exercise puts tough pressure on banks’ data and models
Climate-policy-relevant sectors and credit risk
This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact