Ratingagenturen unter Beschuss



Die Ratingagenturen stehen im Kreuzfeuer. Angesichts der massiven Häufung der Ausfälle bei US-Hypotheken geringer Bonität (Subprime) sahen sie sich seit Juli zu Unmengen von Neubewertungen veranlasst. Bisher wurden hunderte RMBS (Residential Mortgage-backed Securities) und CDO-of-ABS (Collateralised Debt Obligations of Asset-backed Securities) herabgestuft - darunter auch einige mit AAA bewertete Tranchen. Und weitere werden folgen. Durch diese Maßnahmen ist das Vertrauen in die Verlässlichkeit

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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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