Credit risk
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Key indicators for the credit risk evaluation of clients and their changing characteristics
The authors propose a credit risk evaluation model for energy performance contracting projects with debt- paying ability and long-term capital debt ratio as optimal indicators.
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
Tracing credit contagion effects from corporates to the real estate sector
S&P Global Market Intelligence explores possible credit contagion effects from the corporate sector to real estate by using S&P Global Ratings’ research and underlying data to formulate clients’ own views on risks in the sector
Napier Park to increase investment in bank risk transfers
Hedge fund sees secular trend in lenders offloading credit risk, and plans to be part of it
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
How Man Group’s private credit arm keeps risk in check
Mid-market lending no place for weak covenants, flexible addbacks or payments in kind, says Varagon CEO
For a growing number of banks, synthetics are the real deal
More lenders want to use SRTs to offload credit risk, but old hands say they have a long road ahead
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
Risk, portfolio margin, regulation: regtech to the rescue
This Whitepaper addresses the complexity of today’s risk environment for market professionals which can only be fully met with a regtec approach. Cost, competition, technology capability, and regulation influence and drive decision making.
Financial distress prediction with optimal decision trees based on the optimal sampling probability
The authors propose and validate a tree-based ensemble model for financial distress prediction which is demonstrated to outperform comparative models.
BofA, PNC lead Q1 rise in non-performing CRE loans
Commercial real estate write-offs also increased, driven by office loans
Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
The authors put forward a locally weighted dynamic ensemble model which can predict financial institutions' default statues five years ahed.
Smaller US banks hold over half of CRE loans
Lenders under $50bn in assets reported record $1.7 trillion of exposures at end-2023
Credit risk management: a systematic literature review and bibliometric analysis
The authors undertake a literature review and bibliometric analysis of 774 credit risk research papers.
Characteristics of student loan credit recovery: evidence from a micro-level data set
The authors investigate delinquent student loans, identifying factors which influence the likelihood of recovery and proposing means to improve student loan credit recovery rates.
Risk transfer and the shift from camaraderie to competition
The risk transfer market could be moving into a more competitive, more transactional and, some fear, riskier cycle
Harsh judgements: why Stateside lenders are upping the Q-factor
As CRE stalls, qualitative adjustments are forming a larger part of US banks’ credit risk allowances
Traders eye negative CDS-bond basis
Changed market dynamic can be profitable for those firms able to capture it
Driving a modern operational resilience program
Strengthen your operational resilience processes, meet pertinent regulatory requirements in this space and enhance business continuity practices with the help of high-performance GRC technology
EU reporting regime a ‘hurdle’ for risk transfer deals, say investors
Onerous disclosure templates could deter US banks from marketing synthetic securitisations to European buyers