Credit ratings
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
NAIC proposal sees insurers snub debt rated by smaller agencies
Ability of some corporates to raise capital ‘materially impaired’, bankers say
An NAIC plan to second-guess bond ratings is ‘nonsensical’, insurers say
Proposal to create “quasi rating agency” at regulatory body sparks backlash from industry and US Congress
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Why US bank regulation needs a system upgrade
SVB collapse shows supervisory framework is not fit for a changing industry and new systemic risks
The carbon equivalence principle: methods for project finance
A method to price the environmental impact of financial products is proposed
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
Fragmented rules muddy Asian FRTB implementation
Banks and vendors warn risk factor data may not be usable across different jurisdictions
UK pension funds rush to dirty CSAs
Fearing margin pain once BoE gilt-buying ends, funds fast-track revisions to post gilts and corporate bonds
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Sec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
EU regulators warn Basel III deviations could last forever
CRR III allows European Commission to extend transitional rules for SA-CCR
Covid-19 and the credit cycle: 2020 revisited and 2021 outlook
This study continues the author’s examination and forecasts as to the impact of Covid-19 on the US credit cycle after one and a half years since the pandemic first began.
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
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