Rating migration
EU banks’ incremental risk charges up 20% in H1 2025
Heightened trading flows and worsening credit outlooks leave dealers with more risk-heavy books
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time and through-the-cycle PD levels.)
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Scared of fallen angels? So are the rating agencies
Data shows rating agencies more reluctant to downgrade firms at the investment-grade boundary
Rating migrations of US financial institutions: are different outcomes equivalent?
This study employs a competing risks approach to examine the rating migrations of US financial institutions (FIs) during the period 1984–2006.