The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
Decision could come as early as today; high hopes for credit risk transfer exemption
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
Regulatory intervention and share buyback contribute to sink bank’s core ratio to lowest point since 2016
A model to assess the exposure to leveraged and collateralised counterparties is presented
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
Energy turmoil spurs demand for new counterparty rebalancing services in gas and power markets
Seven credit card lenders see delinquency rates accelerate after slowing in Q2
Institutions say clarification of regulations could jump-start US market
Following three years of disruption caused by the Covid-19 pandemic, senior risk managers, risk management consultants and CROs from the banking and insurance industries gathered in Singapore for Asia Risk’s CRO Club roundtable
Risk Live: But higher rates may threaten weaker properties
Notional for futures craters 19% in Q2, hitting lowest in at least seven years
Notionals of credit protection sold and purchased have ballooned 236% and 382% respectively since October 2022
The author investigates the relationship between climate change and credit risk characteristics of individual obligors and portfolios of credit obligations.
Regulators are pushing banks to map their credit spread risk. Here be dragons?
Participants hope changes will help transform single-name volumes into greater index activity
Widening credit spreads had previously sent market risk on syndicated loans skyrocketing
Dealers also fret about unlevel playing field compared with requirements in the EU
At five Canadian banks, troubled loans up 40% year-on-year
Inconsistency among EU banks on whether deposits and loans are in scope for credit spread risk
As recovery rates plummet, report calls for clearer covenants and more transparency on addbacks
Talking Heads 2023: Fund chief Loic Fery eyes rebalancing between public and private credit strategies
First step for US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates