Ambac, MBIA finally get S&P downgrade, Moody's to follow suit


Beleaguered monoline insurers Ambac and MBIA have lost their Standard & Poor's (S&P) AAA ratings, just a day after Moody's placed both firms under review as a precursor to downgrade action of its own. (See also Asia Risk March 2008, pages 14-17).

The immediate market reaction to the downgrades tells its own story. Five-year credit default swaps (CDSs) for Ambac Assurance moved from 957.4 basis points on May 28 to 1,587.9bp on June 5, while the cost of protection on MBIA Insurance rose from 919

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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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