Research finds both green supporting factor and carbon penalising factor have drawbacks
This paper surveys the impressively broad range of machine learning methods and application areas for credit risk.
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
Recognising vendor excellence in credit, operational and enterprise-wide risk management
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
A novel NLP application built on a Google transformer model can help predict ratings transitions
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
Leveraged loan portfolio among targets of ECB’s remedies
News feeds are factored into models to predict credit events
Review of credit risk and credit scoring models based on computing paradigms in financial institutions
This paper provides an overview of some prominent credit scoring models used in financial institutions and provides an insight into how the use and integration of popular computing paradigms based on NNs, machine learning, game theory and BDA in credit…
Novel interpretability method could spur greater use of ReLU neural networks for credit scoring
Regulatory inflation negates RWA decrease from better loan-book quality
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
In this paper, a structural model for credit rating migration is developed and validated, by which the migration boundary is recovered for the first time.
Post-Trim changes erode capital savings from internal models while raising their running costs
The bank expects further increases in the second half of the year after adding $3.17 billion in Q2
Big FX venue operators offer way to reduce overallocation of credit
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
As banks and fellow market participants manage a return to some sense of normality following the Covid-19 pandemic, what are the likely long-term implications for data and credit risk management?
Lenders with lower CET1 ratios and weaker returns could face more credit defaults from global warming
Bank returns to stash reserves triggered by one facility in Q2
Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?
This study provides a general overview of the external financing landscape for the UK SMEs and an exploratory analysis of the SME portfolio of one of the alternative lenders in the United Kingdom.
Average trading VAR down 59% over the previous quarter