Credit risk
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Nonlinear relationships in a logistic model of default for a high-default installment portfolio
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
A latent variable credit risk model comprising nonlinear dependencies in a sector framework with a stochastically dependent loss given default
This paper proposes a latent variable credit risk model for large loan portfolios. It employs the concept of nested Archimedean copulas to account for both a sector-type dependence structure and a copula-dependent stochastic loss given default (LGD).
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Maximising effectiveness with tech
Winners' Circle Q&A: Risk Market Technology Awards 2018 | Murex
IFRS 9 prompts Asian banks to downgrade loan books
DBS raises provisioning on weaker energy loans fourfold in third quarter, citing rules impact
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk
Banks eye synthetic securitisation to cut IFRS 9 loan-loss spikes
New structures would help mitigate estimated 44% increase in loan-loss provisions from revised accounting framework
JP Morgan’s CRO on the bank’s six buckets of risk
Risk30: From loan losses to electromagnetic pulses, JPMorgan Chase has a place for it
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality
IFRS 9/CECL Special Report 2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
When banks venture beyond home turf: consequences for loan performance
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Stage fright: banks tackle IFRS 9 loan-loss volatility
Banks look to counter volatility of loss provisioning through careful calibration of loan buckets
What the ambitions of China’s banks mean for Hong Kong
Political war of words over former colony means little; it’s the appetite of mainland banks for local dominance rivals should watch
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions