Credit ratings
Rates flow market-maker of the year: Citadel Securities
Risk Awards 2020: US Treasuries business in Europe stoked by credit rating addition
Low investment grade debt a staple of EU insurer portfolios
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
Lease finance accounting – A new standard
International Financial Reporting Standard 16 came into effect on January 1. The impact of the new standard can be felt across all industries, particularly those that rely heavily on rentals and leasing as part of their core business. A global leader in…
S&P resists mapping new China onshore ratings to global scale
Uncertainty over state support and accounting prompts agency to keep Chinese ratings separate
Credit rating analysis based on the network of trading information
In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
AIIB risk chief on steering China’s World Bank rival
Martin Kimmig on the Asian Infrastructure Investment Bank’s challenge of overcoming patchy credit data
Competing against Sifis ‘leads to higher risks’
But research finds weaker implied sovereign support reduces impact on non-Sifi competitors
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
Credit data: Trump tax cuts have not hurt US states
Tax package is double-edged sword for US states, but credit has strengthened over past year
Bitcoin futures growth could prompt bank ratings downgrades
Fitch, S&P, Moody’s contemplate impact of bitcoin futures on credit ratings
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Issuer bias in corporate ratings toward financially constrained firms
This paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be…
Banks discount legacy swaps as ring-fencing looms
Expectation of higher funding costs post ring-fencing pushes UK banks to offload some trades faster
Reliability and agreement of credit ratings in the Mexican fixed-income market
This paper borrows concepts from measurement, test and psychometric theories to explore the issue of credit ratings in the Mexican corporate bond market.
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data