The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
Financial markets in 2023 have been marked by heightened volatility, and driven by economic uncertainty, geopolitical tension and technological disruption against a backdrop of digitisation. As the repercussions of bank failures and rising defaults…
A model to assess the exposure to leveraged and collateralised counterparties is presented
Updated model extends time horizon to seven-plus days
€905m charge for trading book default and migration is largest among global dealers
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
Synchrony and Discover lead rise, predicting rates might peak in 2024
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
Investors are becoming more particular when it comes to tranches and managers
The authors construct a group feature selection method which combines optimal instance selection with weighted comprehensive precision in an effort to improve the performance of prediction models in relation to defaulting firms.
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Current policy prevents CCP from selectively excluding eligible collateral
Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
The authors put forward a method using a support vector machine to enhance the exploration of nonlinear covariate effects if SMEs never default while also considering time-varying and fixed covariates for the incidence and latency of an event.
Executives expect trend to continue as credit normalisation proceeds apace
This paper uses empirical methods to investigate how psychometric data can be used to augment traditional credit models.
HSBC quant makes case for looking at collateral and funding rates in concert
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Using new measure of systemic fragility, the author ranks euro area banks and sovereigns and according to their systemic risk contribution.
UK CCPs expected to secure equivalence, but “vague” active accounts mandate sparks fears