Mortgages
Swiss loans may struggle with Libor transition, warn lawyers
Lack of standardisation means fallback clauses may be unable to handle move to Saron
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Canadian CROs play down threat of mortgage exposure
Burgeoning loan portfolios no cause for concern despite Moody’s downgrades, risk chiefs claim
SSA deal of the year: Fannie Mae
Risk Awards 2017: Mortgage giant refines risk-sharing deals as political landscape shifts
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
A prudent loss given default estimation for mortgages
The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house.
Benchmarking the loss given default parameter for mortgage loan portfolios under stress
The authors analyze the impact of a decline in property prices that leads to stressed recovery rates for collateral on the loss given default (LGD) parameter in portfolios of mortgage loan.
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
Modeling the current loan-to-value structure of mortgage pools without loan-specific data
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Banks seek clarity on risk retention capital charges
CMBS issuers in dark about how much capital to hold against risk retention exposures
Regulatory miasma makes life difficult for Ocwen CRO
Op risk veteran Marcelo Cruz says firm faces “absurd” quantity of rules in US mortgage market
Research on equity release mortgage risk diversification with financial innovation: reinsurance usage
This paper examines the risk diversification of ERMs via the reinsurance strategy.
Nine years later, RMBS woes still haunt banks
Megan van Ooyen from SAS rounds up the top five operational risk losses for April 2016
Freddie Mac reviews $600bn hedge book as losses mount
Swap spread inversion contributed to derivatives losses of $2.7 billion in 2015
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
Apra toughens mortgage risk weights for Australian banks
Financial stability fears drive regulators to raise capital levels for banks
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Capital floors could spur risk-taking – Swedish FSA
"Very careful" calibration needed to avoid bad incentives, says senior supervisor
Asset manager of the year: DoubleLine Capital
Risk Awards 2015: Critics challenged to look at the data by fund branded ‘not rateable’
Hedge funds, leverage and mortgages: why Fannie and Freddie's new deals worry some experts
Hedge funds have been keen buyers of the new mortgage risk-sharing deals issued by Fannie Mae and Freddie Mac, but as spreads have tightened, worries about leverage have grown. Some now argue mortgage finance requires a more stable source of capital. By…