Credit risk
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
A joint model of failures and credit ratings
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.
Which EU banks hold the most loans subject to Covid relief?
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
Credit swap portfolios contracted at systemic US banks in Q2
Sold notionals fell 8% over the three months to end-June
Credit risk rethought – The new data imperative
The Covid‑19 pandemic has caused a seismic shift in the world of credit risk analysis. As pressure mounts on business leaders, regulators and governments, the demand for robust, reliable, forward-looking credit risk information is at a premium. Faced…
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
Ratings can still sharpen credit risk picture
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…
Barclays led UK banks in growing CDS book through Covid shock
Dealer saw credit derivatives notionals balloon £58.1 billion over the first half
Credit risk management product of the year: S&P Global Market Intelligence
Asia Risk Technology Awards 2020
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
Covid recession makes US insurers’ junk bond piles riskier
About $227.5 billion of firms’ debt holdings are BB+ rated or lower
‘Big Five’ Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
Tougher OTC trading conditions to persist, say European banks
Seventy-three per cent of respondents expect tight price and non-price terms through September
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
CVA desks arm themselves for the next crisis
March’s volatility forces dealers to fine-tune hedging strategies
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
FX swaps platform aims to cut out the banks – but not entirely
Peer-to-peer newcomer FX HedgePool targets asset managers’ month-end hedging activity
CRR ‘quick fix’ pushes UniCredit’s RWAs lower
Italian bank nets €2.4 billion of RWA relief from regulatory changes
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall