Default risk
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
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.
Statistically distinguishable rating scales
The author suggests a means to design a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics, allowing for more stable validation.
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
US bank CROs see only ‘modest’ credit risk from tariffs
Risk Live North America: Lower margins are early sign of stress, but Ally, Citizens and Pinnacle confident on loan books
Asia’s bank risk managers brace for tariff stress
Banks keep a close eye on clients, and dust off risk transfer toolkit
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
Variance estimation for the quantification of the margin of conservatism category C
This paper discusses a new estimator for probability of default and compare its performance against two alternative approaches, demonstrating the novel method to have a lower bias and variance.
Hong Kong CRE drives rise in HSBC stage 2 loans
Model updates and HK real estate behind $24bn jump in H1
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Risk Technology Awards 2025: Tariff turmoil’s tech effects
Upheaval in US trade policy drove demands for more data, more simulations as supervisors pushed banks to plan for the worst
Passing the port? Drill needs more CCP hands in key test
As few plan to test porting, brokers say finer asset segregation, reg waivers and capital relief would help
Credit investors struggle to decide what tariffs will mean for defaults
Traders report difficulty evaluating risk, but elevated yields have kept demand strong nonetheless
Ice US incurs $644m hypothetical stress loss shortfall
Double-member default in worst-case scenario would have overwhelmed CCP’s default fund
Enhancing default prediction in alternative lending: leveraging credit bureau data and machine learning
The authors apply machine learning techniques to credit bureau data and loan-specific variables to improve default prediction in the alternative lending sector.
Isda moves to fix outdated CDS obligations list
Updated process would allow for mass updates, reserving legal review for most complex challenges
How magic a bullet is machine learning for credit analysis? An exploration with fintech lending data
The authors apply machine learning techniques to consumer fintech loan data to assess how such techniques can improve out-of-sample default prediction.
Academics call for tenfold jump in CCP capital cover
New framework finds mono-layer clearing houses may require biggest skin-in-the-game
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.