This paper proposes a credit risk model based on purchase order information to address the deficiencies of monitoring methods that use only financial statements.
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Latest Bank of England data shows first increase since Q1, 2020
Divergences between accounting and regulatory markdowns remains high at some top lenders
Interest surges in products seen as better gauges of credit risk for embattled property sector
Bank will pause stock buybacks until new year to mitigate new methodology impact and create extra capital headroom
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in the future
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
Counterparty Radar: Funds slashed sold positions ahead of 2020’s auctions but post-default Argentina remains a focus
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era