Default risk
CCR RWAs spike across Asian banks in Q1 2026
Singapore and Hong Kong lenders see sharpest rise in a category banks disclose little detail on
IM concentration at CCPs hits multi-year high in Q4
Median tops 52% for first time since 2021 as average reaches record
Graph neural networks for credit default prediction: robustness and model evaluation
The authors evaluate the robustness and performance of graph-based models in credit default prediction.
Credit market maths seems not to add up
Today’s investors would appear to be better off buying ‘riskier’ debt
CCP default funds grew to record size ahead of Iran war
End-2025 figures show widespread increases in prefunded resources
CME-FICC cross-netting terms fuel clashes
Hedge funds worried by CCP powers to suspend arrangement; clearing members say it’s standard practice
SRT deals shelved amid Iran and AI concerns
Simple and risk-reducing deals prioritised as growing fears disrupt synthetic risk-transfer pipeline
Ardagh CDS outcome satisfies some, but presents more questions
Early restructuring trigger and asset-package delivery could signify a new era for European trades
Bridging credit transitions and spread dynamics
A fast-to-calibrate model to simulate a credit rating transition matrix is presented
The role of personal credit in small business risk assessment: a machine learning approach
The authors investigate how personal credit data can be combined with business-level and tradeline variables in a machine learning framework to enhance default prediction.
Statistically distinguishable rating scales
The author suggests a means to design a statistically distinguishable rating scale that is not excessive in relation to the existing observation statistics, allowing for more stable validation.
Default risk overtakes credit spreads in Japan's first year under FRTB
Securitisation charges lift a bigger slice of banks’ market risk requirements
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
US bank CROs see only ‘modest’ credit risk from tariffs
Risk Live North America: Lower margins are early sign of stress, but Ally, Citizens and Pinnacle confident on loan books
Asia’s bank risk managers brace for tariff stress
Banks keep a close eye on clients, and dust off risk transfer toolkit
Market RWAs climb at top Chinese banks as risk sensitivities spike
China Construction Bank records biggest rise on record in Q2
Variance estimation for the quantification of the margin of conservatism category C
This paper discusses a new estimator for probability of default and compare its performance against two alternative approaches, demonstrating the novel method to have a lower bias and variance.
Hong Kong CRE drives rise in HSBC stage 2 loans
Model updates and HK real estate behind $24bn jump in H1
Market shocks push IRC to records at EU banks
Component for default and migration risk hits new highs at several dealers
Quantum path integrals for default intensity models
A method to price credit derivatives via default intensity approximation is presented
Risk Technology Awards 2025: Tariff turmoil’s tech effects
Upheaval in US trade policy drove demands for more data, more simulations as supervisors pushed banks to plan for the worst