Over 50% of AIF exposures concentrated in top 20 funds
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Housing exposures make up bulk of those vulnerable to climate change
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
In this paper, the authors employ a hybrid approach to design a practical and effective CRE model based on a deep belief network (DBN) and the K-means method.
Italian credits are improving, but banking sector is not out of the woods yet
Frontloading of credit risk model guidelines saps CET1 ratio by 40bp
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
Price and non-price trade conditions likely to ease for most firms in Q3
Standardised credit RWAs fall 23% quarter-on-quarter
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Cash put aside to cover defaults and soured loans lowest for three years
Total stock of NPLs hits €663 billion
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
Allowances taken from Q2 earnings fall to just €81 million
Provisions for credit losses rise from €94m in the year-ago quarter
Credit valuation adjustment RWAs down 30% year-on-year