US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
A novel NLP application built on a Google transformer model can help predict ratings transitions
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
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
Star quant proposes a new model for predicting changes in bond ratings
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
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.
The authors present a methodology to generate future scenarios of interest rates for different credit ratings under a real-world probability measure.
Top regulator disputes idea banks are unable to run down buffers, urges better communication
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.
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…
Environmental and social behaviour predicts credit ratings in North America – less so in Europe
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…
Consumers are spending, but brick and mortar retailers continue to struggle
Risk Awards 2020: US Treasuries business in Europe stoked by credit rating addition
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
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…
Uncertainty over state support and accounting prompts agency to keep Chinese ratings separate
In this paper, the authors investigate a credit rating problem based on the network of trading information (NoTI).
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…
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.