Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
Swedish regulator’s fine poses serious questions over default management and margining, while providing few answers
Determination of weights for an optimal credit rating model based on default and nondefault distance maximization
This study proposes a credit rating model that accurately identifies default and nondefault companies by maximizing intergroup credit score deviations and minimizing intragroup deviations.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Total collateral held remains elevated compared to pre-coronavirus crisis
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.
A capital valuation adjustment designed to preserve a firm’s value to shareholders is introduced
This work generalizes existing one- and two-dimensional pricing formulas with an equal number of barriers to a setting of n dimensions and up to two barriers in the presence of stochastic volatility.
Lenders could suffer if government support for small business starts to wane
Danske Bank, Crédit Agricole, Group BPCE lead the field
Corporate default risk modeling under distressed economic and financial conditions in a developing economy
The authors create stepwise logistic regression models to predict the probability of default for private nonfinancial firms under distressed financial and economic conditions in a developing economy. Their main aim is to identify and interpret the…
Weighted average corporate borrower PD across countries climbed to 2.04%
Some CCPs are mooting joint auctions to resolve large defaults – but critics deem them unworkable
UK lender Lloyds had 13% of its loan book under payment moratoria as of June 30
This paper provides a theoretical and empirical analysis of alternative discount rate concepts for computing loss given default rates using historical bank workout data.
CFTC open to extending September 15 deadline
Elliptical and Archimedean copula models: an application to the price estimation of portfolio credit derivatives
This paper explores the impact of elliptical and Archimedean copula models on the valuation of basket default swaps.
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Initial margin requirements for OTC derivatives can increase risk of contagion, writes economist
Credit conditions were worsening before Covid, research finds
NSCC reported its guaranty resources grew 231%
Largest IM call for JGB index futures and options unit was ¥443.9 billion
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…