Credit risk
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Covid-19 and the credit cycle
The Covid-19 health crisis has dramatically affected just about every aspect of the economy, including the transition from a record long benign credit cycle to a stressed one, with still uncertain dimensions. This paper seeks to assess the credit climate…
Carbon pricing paths to a greener future, and potential roadblocks to public companies’ creditworthiness
In this paper, the authors introduce a valuation-based approach to estimate how energy transition risk may impact the creditworthiness of public companies globally within the next thirty years.
Capital relief trades make slow comeback from Covid slump
European synthetic credit risk transfer market now more expensive for banks
SOFR, credit quality and scenario construction
The week on Risk.net, June 13-19, 2020
Niche EU lenders loaded with loans to peripheral eurozone
Top European banks have limited exposures to Greece, Cyprus, Spain, Portugal and Italy
Covid shock could topple US insurers’ exotic CLOs
Losses on “atypical” tranches could hit $899 million
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.
Why credit risk managers need to see around corners
The Covid‑19 pandemic – and the subsequent extreme volatility – has exposed the fragility of long-established market and supply chain systems, affecting borrowers’ ability to repay debt. David Croen, global head of credit risk products at Bloomberg,…
An alternative statistical framework for credit default prediction
This study compares the gradient-boosting model with four other well-known classifiers, namely, a classification and regression tree (CART), logistic regression (LR), multivariate adaptive regression splines (MARS) and a random forest (RF).
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
US insurers built up holdings of shaky bank loans in 2019
Non-investment grade loans make up 80% of insurer loan exposures
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit