Credit risk
Does credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality
Calibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
Monthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
Monthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
Exploring a new frontier: Using cognitive technology to strengthen credit risk management
Content provided by IBM
Managing and monitoring a single view of concentration risk
Content provided by IBM
Risk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Banks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
Spike in bad loans raises scrutiny of P2P credit models
Jump in delinquencies at some lenders prompts questions over modelling practices, but firms stand by their approach
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
Multiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
Exposing actionable insights in credit risk management
Sponsored webinar: Moody's Analytics and Qlik
Banks: OCC guidance forced downgrade of healthy energy loans
Loans with low loss given defaults now considered impaired, lenders complain
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
Loan classification under IFRS 9
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
Banking redefined: Helping clients succeed in the new market structure
Sponsored Q&A: UBS
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk