Default risk
How magic a bullet is machine learning for credit analysis? An exploration with fintech lending data
The authors apply machine learning techniques to consumer fintech loan data to assess how such techniques can improve out-of-sample default prediction.
Academics call for tenfold jump in CCP capital cover
New framework finds mono-layer clearing houses may require biggest skin-in-the-game
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Tariff volatility pushes banks to tighten close-outs
Lawyers say dealers are looking to update playbooks for terminating derivatives trades
Survival analysis in credit risk management: a review study
This paper offers a systematic literature review of survival analysis in credit risk assessment and suggests potential future avenues for research.
CCP default funds 35% larger than on eve of pandemic
Sixteen out of 25 clearing services had bigger buffers heading into the recent tariff turmoil compared to Q4 2019
Default risk in the era of environmental, social and governance ratings: a comparative analysis of divergence
The authors investigate links between ESG ratings divergence and default risk, finding firms demonstrating better ESG performance show lower default risk.
NSCC suffers record $7bn liquidity shortfall
Index rebalancing in December drives CCP’s largest-ever simulated funding gap
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Member contributions propel six default funds to new highs
Skin in the game unchanged at four CCPs amid $3bn rise in default resources
CDS market awaits uncertain Intrum auction result
Swedish firm’s restructuring deal limits flexibility in settling contracts, risking curbs on payouts
Estimated stressed losses rise at OCC, LCH and JSCC
New stress scenario boosts worst-case loss at Options Clearing Corporation by half
Default and credit spread risks drive Canadian banks’ FRTB charges
New Basel III disclosures give first glimpse into market risk mix after internal models retirement
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Options expiry triggers $4bn liquidity shortfall at NSCC
Second-largest simulated shortfall on record mitigated by extra liquidity deposit and OCC commitment
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
A model combining Optuna and the light gradient-boosting machine algorithm for credit default forecasting
The authors put forward a default prediction model designed to make the analysis of complex, highly dimensional and imbalanced real-world bank data easier.
SGX-DC’s prefunded resources short of stressed losses 37 days in Q2
Latest round of shorftalls linked to double-member default lay bare lack of Cover 2 requirement
Estimated stress losses at CME, Eurex and LCH surge to record high
Latest projections likely behind increases in contributions to CCPs’ default funds in Q2
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
US banks endure climb in charge-off rates
Write-offs spread from consumer and CRE portfolios to other corporate lending
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources