Credit risk
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.
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Risk solutions house of the year: Goldman Sachs
US bank restructured huge Swiss franc swap during market turmoil
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Step ahead of shadow banks and stay within your risk appetite
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Risk management: different industries, different drivers
Energy firms get wise on credit risk; asset managers tackle op risk
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
IFRS 9: Managing the transition to the new loss modelling
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Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
Liquidity biggest worry for RWE Supply & Trading CRO
Regulation could "kill the markets by trying to make them safer", frets Uwe Schulz
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
Keeping score: Evolving wholesale credit on a maturity model
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Absa: Gaining a single view of risk across both trading and banking books
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The robustness of estimators in structural credit loss distributions
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.