Credit risk
CDS financials index to relaunch – minus big bank names
Revamped index drops G-Sibs and adds BDCs, but questions remain around use cases
Mob rule: populism’s rise pits banks against the people
Trump and fellow mavericks are reshaping politics, leaving banks scrambling to adjust to new and unpredictable risks
Exposures with undisclosed risk-weights hit new highs at US banks
Assets in the ‘other’ category of standardised risk-weights grow to $700bn
Eurex looks to shine ‘more light’ on off-book liquidity
Block order book initiative to aid price discovery slated for later this year
Italy’s spread problem is not (always) a credit story
Occasional doubts over Italy’s role in the monetary union adds political risk premium, argues economist
Itaú Unibanco capital ratio slides ahead of Brazil tax shift
Capital distributions drag CET1 lower as higher RWAs also bite
Podcast: Pietro Rossi on credit ratings and volatility models
Stochastic approaches and calibration speed improve established models in credit and equity
Bridging credit transitions and spread dynamics
A fast-to-calibrate model to simulate a credit rating transition matrix is presented
Crisis-era CDO protection keeps on giving for Athene
Apollo-owned insurer still sees payments from sold CDS protection on a 2006 synthetic resecuritisation
PNC emerges as top regional player in private credit
Lender ranks second only to Bank of America for loans to business credit intermediaries
How geopolitical risk turned into a systemic stress test
Conflict over resources is reshaping markets in a way that goes beyond occasional risk premia
Credit risk meets insurance risk: a unified framework
Extending the influential CreditRisk+ model for portfolio credit risk modeling, the authors propose adding a continuous-time extension to the model.
RBC books C$984m soured-loan PCLs as tariff uncertainty persists
Set-asides run at elevated rate for yet another quarter
China, US banks show highest global RWA density
American Express leads with risk density over 70%, ahead of Capital One and Truist
Analysts dismiss BDC credit quality concerns
Growing private credit worries helped drive losses, but fundamentals are said not to support that view
Could one-off loan losses at US regional banks become systemic?
Investors bet Zions, Western Alliance are isolated problems, but credit risk managers are nervous
Credit risk management solutions 2025: quadrant update
Chartis’ view of the vendor landscape for financial institutions’ credit risk and portfolio management solutions
The role of personal credit in small business risk assessment: a machine learning approach
The authors investigate how personal credit data can be combined with business-level and tradeline variables in a machine learning framework to enhance default prediction.
How Basel III endgame will reshape banks’ business mix
B3E will affect portfolio focus and client strategy, says capital risk strategist
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal