Default risk
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Eurex scrambles to avert Treasury collateral ban on US default
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.
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace
Banking on personality: psychometrics and consumer creditworthiness
This paper uses empirical methods to investigate how psychometric data can be used to augment traditional credit models.
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
Collateralised exposure modelling: bridging the gap risk
Concentration, leverage and correlations may affect a collateralised equity swap portfolio
Liquidity risk at OCC up 34% in Q3
Internal stress-testing of a clearing member’s portfolio triggered upward revision
Assessing systemic fragility: a probabilistic perspective
Using new measure of systemic fragility, the author ranks euro area banks and sovereigns and according to their systemic risk contribution.
Leaked EC clearing proposal leaves question mark over LCH
UK CCPs expected to secure equivalence, but “vague” active accounts mandate sparks fears
Sovereign probabilities of default in the euro area
This paper decomposes credit default swap spreads of euro area members into their risk premium and default risk elements and forecast one year probabilities of default.
BoE official signals tough stance on CCP skin in the game
Default waterfalls must include a second tranche of CCP capital, says Cunliffe
SA-CCR’s sacrifice: who stands to lose from new capital rules
Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals
Esma to meet with clearing industry over EU energy crisis
Widening eligible collateral on table; ECB intervention would need government indemnities
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Archegos revives Lehman-era trade booking controversy
Experts debate whether defaulted TRS positions should have become house exposures immediately
HSBC’s China real estate exposures see fourfold rise in defaults
Proportion of “impaired” exposures to mainland investments jumped $1.7 billion in six months
EU eyes fix to FRTB’s capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
SwapClear incurs record number of margin breaches
LCH’s interest rate derivatives clearing service reported over 4,000 backtesting exceptions in Q1
Back in time: a brief history of LME’s nickel meltdown
As prices went haywire, margin remained frozen and calls to suspend trading were rejected
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Archegos revisited: the gaps in Credit Suisse’s story
Ahead of shareholder vote, former execs point to gaps in key report – raising new questions about accountability