Credit Risk Measurement and Management: Disruption and Evolution
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Integrated Loan Portfolio Modelling and Risk Management
Michael Szwejbka
Foreword
Introduction
An Exploration of the Evolution of Risk: Past, Present and Future
Risk Trading, Risky Debt and Financial Stability
Skating on Thinner Ice: A Macroeconomic Outlook at the End of the Credit Cycle
Climate Change: Managing a New Financial Risk
The Quest to Save Risk-Weighted Assets
The Evolution of the CLO Market since the Global Financial Crisis and a Valuation Approach for CLO Tranches
Homo Ex Machina: Finance Rebooted
Innovation and Digitisation in Credit: A Global Perspective
The Lending Revolution: How Digital Credit Is Changing Banks from the Inside
Digital Lending in Asia: Disruption and Continuity
Digitisation and Automation in Commercial Lending: Disruption without Distraction
Credit Risk Management in the Era of Big Data: From Measurement to Insight
Artificial Intelligence and Machine Learning in Credit Risk Analytics: Present, Past and Future
Integrated Loan Portfolio Modelling and Risk Management
The Role of Banks in Illiquid Credit Markets, and the Disruption and Evolution of Credit Portfolio Management
Epilogue
In 2018, the CEO of a major bank quipped “I’ve seen more changes in the banking industry in the last ten years of my career than the first twenty”. Blockchain, fintech, cybersecurity, mobile banking, cloud computing and non-bank lenders hastened the pace of change and presented new opportunities, and problems, for banks. Even something as ubiquitous as email (not to mention social media) changed the way bankers interact with consumers: changing consumer habits forced banks to adapt to a different style of interacting with customers. The ageing architectural fortresses of strength have given way to caf -banks, where you can take out a personal loan as easily as ordering a latte. These changes and many others have had a visible impact on the banking industry. But how have banks’ internal processes changed? Have the so-called back-office operations kept pace with the changes? In managing a bank, these changes reach a more fundamental level, requiring the various background risks to be integrated into the balance sheet components.
Banking is synonymous with risk-taking, with arguably the most central risk being credit risk. The main business of bankers is to make loans and be
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