Credit risk
Rise of ethical swaps brings hedging questions
Banks ponder how to offset risks of ESG derivatives – or whether hedging is even desirable
Credit problem: SOFR faces uphill struggle in loan market
Furnishing Libor’s replacement with a credit-sensitive spread is proving to be a Sisyphean task
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering
Art-secured lending: a risk analysis framework
In this study, the authors identify the three types of risks involved in an art-secured lending operation and present a framework to assess their combined effects via a Monte Carlo simulation.
Why credit risk managers need to see around corners
The Covid‑19 pandemic – and the subsequent extreme volatility – has exposed the fragility of long-established market and supply chain systems, affecting borrowers’ ability to repay debt. David Croen, global head of credit risk products at Bloomberg,…
An alternative statistical framework for credit default prediction
This study compares the gradient-boosting model with four other well-known classifiers, namely, a classification and regression tree (CART), logistic regression (LR), multivariate adaptive regression splines (MARS) and a random forest (RF).
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Own-sovereign risk higher in peripheral eurozone countries
Portuguese, Greek, Italian, Irish and Spanish banks have 51% of their sovereign portfolios invested in domestic debt
Libor trap lurks in 2021 US stress tests
Using SOFR, borrowing could boom and revenues collapse
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
US insurers built up holdings of shaky bank loans in 2019
Non-investment grade loans make up 80% of insurer loan exposures
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Credit data: coronavirus takes toll on corporates
Financials weathered the first phase of the lockdowns, but most other sectors were hit hard
Japan Post marks down CLOs by ¥122bn
Lender has increased holdings of CLOs 76% since Q4 2018
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Systemic eurozone banks take €10bn in loan-loss provisions
Santander takes a whopping €3.9 billion out of income
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender
UK banks put £7.6bn aside for credit losses in Q1
Impairment charges were roughly double aggregate net profits at top lenders
Carbon tax spike could spur global recession – S&P
Higher carbon prices would trigger widespread industry defaults, says agency research unit
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
European banks seek capital relief for CVA hedges
Volatile trading in March caused CVA hedges to dominate market risk RWAs at some smaller dealers
US regional banks put $18bn aside for credit losses in Q1
Huntington, Citizens, Truist saw provisions increase over 400% on Q4 2019