Credit risk
Credit veteran tackles opacity in peer-to-peer lending
PeerIQ CEO Ram Ahluwalia shines a light on the world of peer-to-peer securitisation
Data challenges in IFRS 9
Sponsored webinar: Oracle
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Modeling corporate customers’ credit risk considering the ensemble approaches in multiclass classification: evidence from Iranian corporate credits
This paper introduces a model which enables lenders to develop specific policies for credit granting by predicting the solvency and insolvency rates of their corporate clients.
Under construction: Renovations for CECL begin
Sponsored content: SAS
Estimating credit risk parameters using ensemble learning methods: an empirical study on loss given default
This study investigates two well-established ensemble learning methods: Stochastic Gradient Boosting and Random Forest, and proposed two new ensembles.
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
The impact of loan-to-value on the default rate of residential mortgage-backed securities
This paper analyzes the validity of using the loan-to-value (LTV) ratio to explain the behavior of mortgage borrowers at an empirical level.
Creating business value: Measuring the return of improved data management
Sponsored survey analysis: Oracle Financial Services
Credit risk in energy: Best practices for challenging times
Sponsored webinar: Moody's Analytics
Brexit clauses put brakes on big UK property loans
Collapse in sterling expected to see in-flight deals renegotiated
Comparing risk measures when aggregating market risk and credit risk using different copulas
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
The application of credit risk models to macroeconomic scenario analysis and stress testing
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Metro Bank aspires to IRB for credit risk
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
Extended saddlepoint methods for credit risk measurement
This paper reviews and extends the saddlepoint methods currently available to measure credit risk.
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
US banks face questions over bad oil loans
Resilience of hard-hit regional lenders scrutinised as losses mount
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Technological nightmares worry Zurich Global Corporate CRO
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Blockchain tech for derivatives CCPs – friend or foe?
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.