Credit ratings
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. More precisely, they explain how to perform simulations of the real-world forward rates for different…
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.
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
