Ratings figure

Monolines

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Plunging prices for residential mortgage-backed securities (RMBSs) and collateralised debt obligations (CDOs), along with a liquidity crisis for short-term funding, have thrown attention on any structure forced to sell assets on the back of falling market prices - in particular, structured investment vehicles and bank conduits. But the spotlight has also begun to turn on the monoline insurance sector, a long-time provider of credit enhancement to the securitisation market. Analysts are widely

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Credit risk & modelling – Special report 2021

This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.

The wild world of credit models

The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…

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