Move follows 13 significant margin breaches in 2018, with one breaching by as much as 245%
Probabilities of default fall on average across 39 countries
Further changes expected following September clearing fund revamp
Tax package is double-edged sword for US states, but credit has strengthened over past year
Levy adds millions to dealers' expenses
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
Existing data could inform greater number of stress scenarios and create system-wide test
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
CCPs and clearing members both unhappy with proposed allocation of non-default losses
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
This paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Market participants say CME, CBOE should clear bitcoin futures separately
This paper considers whether the rating agency attempts to mitigate the feedback effect through its rating actions. Using Moody’s issuer ratings over 1982–2009, the paper shows that firms with greater external financing constraints are less likely to be…
Bank estimates offer alternative view on probability of default risk
Market participants do not see eye-to-eye on loss sharing in the event of custody bank failure
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
This paper proposes a portfolio credit risk model with random recovery rates.
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals