Credit risk
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Credit portfolio manager of the year: UniCredit
Risk Awards 2025: A focus on economic value-added prompted a rapid expansion of the bank’s synthetic risk transfer activity
Credit derivatives house of the year: JP Morgan
Risk Awards 2025: Continued investment in credit has created a virtuous circle of growth, as cash products support derivatives, and vice versa
Credit traders await resolution on delayed swaps index
Market participants confident CDX Financials fix will overcome regulatory obstacles
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
Consolidation of Arval exposures adds €20bn to BNP Paribas’ RWAs
Bank shifts exposures from soon-to-be retired equity IRB treatment to standardised approach
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
Valley National sees surge in delinquent CRE loans in Q3
Bank’s net charge-off rate more than doubles as $114 million in CRE loans become past due
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio
NYCB’s NPLs surge continues despite efforts to pare loan book
Soured loans up almost sixfold since start of the year
Why the Basel III rollback won’t halt US risk transfer deals
New structures could free up reserves as well as regulatory capital, says lawyer who helped launch market
Delinquency rates bounce back at top US lenders
Weaker 2022 loans, tougher collections and seasonal factors push past-due loans higher in Q3
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published