Ratings
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Single climate risk metric ‘not realistic’, says Bank of England
Senior official argues banks and investors must weigh up multiple factors when assessing climate risk
A pricing model with dynamic credit rating transition matrixes
This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
Ethical ratings stir debate over saints and sinners
Asset manager Aegon hits out at “flawed” ESG ratings methodologies
US pension fund teams up with academics to cut through ESG fog
State fund and MIT’s business school look to improve ESG data and to reflect all investors’ views
Buffer stops? Why banks haven’t used Covid capital relief
Amid weak credit demand, banks haven’t availed themselves of capital buffers, but they still might
SOFR, credit quality and scenario construction
The week on Risk.net, June 13-19, 2020
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
ECB’s Enria unsure banks will dip into capital buffers
Anxiety over investor and rating agency reaction may limit banks’ use of Covid relief measures
For ESG raters, clearer skies still signal stasis
As Covid-19 tamps down environmental risk, rating agencies are unmoving on ESG scoring
Credit data: rising tide lifts fund houses – but can it last?
Strong revenue growth masks structural problems in the funds industry
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Top US banks fall short of Fed standards
Supervisor says bulk of outstanding problems for largest banks concern governance and controls
ESG investing: It’s not just great to be good
Investing according to environmental, social and governance (ESG) criteria can be done in various ways, with continuing development of filters and ways of analysing companies. As the market in ESG indexes and investments linked to sustainability matures,…
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Model risk tiering: an exploration of industry practices and principles
This paper seeks to shed light on one critical area of such frameworks: model risk tiering, or the rating of risk inherent in the use of individual models, which can benefit a firm’s resource allocation and overall risk management capabilities.