Corporates
A dynamic program under Lévy processes for valuing corporate securities
The authors design and solve an extended structural model that accommodates arbitrary Lévy dynamics for the underlying firm’s asset value, realistic debt payment schedules, multiple seniority classes and various intangible assets.
Chinese corporates step up FX hedging after reopening
Exporters eye hedges as RMB strengthens, but negative forward points are a turn-off for some
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Integrating ECL onto a stress-testing platform: credit risk characteristics
How credit loss in the ECL process can leverage changes in the credit risk profile of a portfolio during a stress scenario
Integrating ECL onto a stress-testing platform: scenarios
Strategies for producing stress-testing ECL values that comply with IFRS 9, as well as CECL standards
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
An uphill climb to T+1 settlement
The SEC is pushing an aggressive schedule for faster settlement of equities and corporate bonds
‘Globalisation rewired’: what does it mean for investors?
After half a century of outsourcing production to developing nations, companies are changing tack – with long-term implications for investors
EC stuns corporates by scrapping Emir swaps exemption
Industry confused as to why intragroup reporting obligation needs resurrecting
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
ANZ defies ‘white label’ trend with algo expansion
Instead of relying on large LPs, Australian bank aims to offer six new FX algos of its own by February
PBoC deposit requirement hits FX hedging, again
Reinstated rule hikes forwards costs and dents volumes, but volatility sees corporate demand persist
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
Podcast: Leveraging real‑time data feeds for faster business decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business
European corporates scramble for alternative credit sources
Credit lines with traditional bank counterparties exhausted since dollar rally against euro
Corporates rush to hedge emerging market currency risks
Falling forward points have reduced cost of hedging further drops in Chinese renminbi
Asia moves: Senior hires at BNP Paribas, HSBC and more
Latest job news across the industry
PGIM grows sovereign-referencing CDS book in falling market
Counterparty Radar: US mutual funds cut $2bn in single-name swaps in Q2, making largest reductions in SSA trades
CVA exposures to UK corporates jump ‘hundreds of millions’
Dash for credit protection triggered a doom loop in the CDSs of cross-currency swap counterparties
Decision science: from automation to optimisation
The full benefits of investing in a digital approach to credit decisioning are yet to be unleashed, despite advancements in automation and analytics at banks
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
StanChart tackles US-China rates divergence
Talking Heads 2022: Policy changes have upended correlations in emerging markets, says rates head Lettich
FX hedging dilemma vexes corporates as costs spiral
High volatility jacks up option prices, forcing firms to reconsider hedging activities