CDSs on euro peripherals widen over weekend

Five-year credit default swaps (CDS) on Ireland rose from 544 basis points at end-of-day Friday to 560bp as of 1.00pm UK time today, according to market-data provider Markit.

CDSs on Portugal rose from 433bp on Friday to 447bp today. The cost of insuring against Italy defaulting on its debt went up slightly, from 210bp on Friday to 220bp today, while CDSs on Spain increased from 298bp on Friday to 311bp today.

CDSs on Hungary widened from 364bp on Friday to 382bp today, after Moody's downgraded

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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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