Credit ratings
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Basel III standardised credit risk assessment – What you need to know
Basel III updates take a more sensitive approach to calculating risk weightings and capital charges. Paul Whitmore, global head of counterparty risk solutions at Fitch Solutions, explains how credit risk professionals can prepare
A sharper focus on credit risk – Accessing Basel III SCRA data
The final Basel III framework will usher in a more nuanced approach to credit risk assessment. To address the challenges and benefit from the attendant opportunities, organisations need to be able to gather and manage the necessary data
Podcast: Richard Martin on improving credit migration models
Star quant proposes a new model for predicting changes in bond ratings
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
This study proposes a credit rating model that accurately identifies default and nondefault companies by maximizing intergroup credit score deviations and minimizing intragroup deviations.
A Libor market model including credit risk under the real-world measure
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
Basel’s Rogers: little evidence capital buffers have failed
Top regulator disputes idea banks are unable to run down buffers, urges better communication
A joint model of failures and credit ratings
The authors propose a novel framework for credit risk modeling, where default or failure information and rating or expert information are jointly incorporated in the model.
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
The impact of corporate social and environmental performance on credit rating prediction: North America versus Europe
The authors quantify the extent to which the quality of credit rating predictions improves by integrating measures of corporate social performance (CSP) in an established credit risk model. Their analysis provides comprehensive evidence of the…
Good citizenship can signal better creditworthiness – study
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
‘Fallen angels’ pose little threat to EU funds
Passive fund outflows in a credit crisis would put pressure on high-yield bond prices
Difference between the determinants of operational risk reporting in Islamic and conventional banks: evidence from Saudi Arabia
In this study, the author investigates the operational risk reporting practices of Islamic banking institutions (IBIs) and conventional banks (CBs) in Saudi Arabia. Moreover, the author explores the joint effect of banking characteristics, corporate…
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
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.