Default risk
JSCC reinforces default funds
Member firm contributions swell ¥135.5 billion across derivatives clearing services
Climate risk joins ethics in driving lending decisions
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Credit default prediction using a support vector machine and a probabilistic neural network
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 …
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
A floored plan: Europe’s CCP recovery rules draw fire
CCPs and clearing members both unhappy with proposed allocation of non-default losses
Model risk in the Fundamental Review of the Trading Book: the case of the Default Risk Charge
This paper assesses the model risk associated with the copula choice for the calculation of the Default Risk Charge (DRC) measure.
Risk mutualization and financial stability: recovering and resolving a central counterparty
This paper investigates how financial market participants respond to risk mutualization implemented by a CCP using assessments after a large credit loss.
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Exchanges and FCMs clash over bitcoin clearing carve-out
Market participants say CME, CBOE should clear bitcoin futures separately
Issuer bias in corporate ratings toward financially constrained firms
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…
Credit data: reasons to like Europe and G-Sibs
Bank estimates offer alternative view on probability of default risk
CCPs and banks at odds over custodian losses
Market participants do not see eye-to-eye on loss sharing in the event of custody bank failure
Bailout obsession holds back US CCP resolution regime
Dodd-Frank leaves legal uncertainty, but proposed alternatives could be even worse
Portfolio credit risk model with extremal dependence of defaults and random recovery
This paper proposes a portfolio credit risk model with random recovery rates.
Goodness-of-fit for discrete-choice models of borrower default
This paper demonstrates that the rank-order tests are unreliable for assessing models to be used to predict probabilities.
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
Banks voice fresh concerns over CCP non-default losses
Dealers could face cash calls to recapitalise an ailing CCP that suffers a critical non-default loss under FSB proposals
Default risk of money-market fund portfolios
This paper proposes a semi-analytic approach to quantify the default risk associated with Money-Market Fund (MMF) portfolios.
Cutting Edge introduction: systematic systematic factor models
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looking more closely at what a systematic risk factor actually…
Isda AGM: CCP ‘Armageddon’ could lead to sovereign default, warns HSBC exec
Single bank default could affect multiple CCPs, leading to crippling default contribution for existing members and a chain of bank failures
The impossibility of DVA replication
The impossibility of DVA replication