Credit risk
Discover and Synchrony net charge-offs keep climbing higher
Bad loan write-offs projected to rise further in 2024 as credit quality deteriorates
Multi-factor default correlation model estimation: enhancement with bootstrapping
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
Emerging lessons from the current credit risk cycle
Experts discuss the challenges of higher inflation and interest rates, the impact on defaults, innovations in credit risk modelling and predictions for 2024
Structured credit: the outlook for 2024
In this webinar produced by Risk.net in association with Numerix, experts discuss the risks, opportunities and outlook for structured credit markets in 2024
At Canada’s big five, impairments keep creeping up
BMO leads the group with bad loans up 39% quarter on quarter
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
Tackling credit risk in turbulent times
Survey reveals Apac CROs’ top credit risk priorities
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Models shed light on opaque private credit markets
Stewart Webster, director of credit and risk at S&P Global Market Intelligence, discusses how his team is providing transparency in this challenging sector of the credit markets.
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
State Street and Northern Trust offload riskless assets in Q3
Combined $40bn plunge sees both banks hit four-year lows
CRE books at Goldman, Morgan Stanley most laden with provisions
Duo increased allowance coverage fastest among top US banks since September 2022
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
Credit contagion risk in German auto loans
The authors employ a data set of over 5 million German auto loans to investigate credit contagion risk and show that defaults cannot be attributed to single factors.
Early warning signals of credit deterioration to save on potential losses
With financial institutions facing market volatility and high interest risks in 2023, the warning signals cannot be overlooked. It is crucial to have access to reliable and timely indicators of credit deterioration to prevent significant losses. This…
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
KBC takes €8.2bn RWA add-on post ECB model review
Regulatory intervention and share buyback contribute to sink bank’s core ratio to lowest point since 2016
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Welcome to a new ecosystem for managing credit risk
How Eurex is using credit index futures to build the next frontier for exchange-traded derivatives
Integrated stock–bond portfolio management
The authors put forward a stock-bond portfolio selection model which is based on CreditMetrics principles in which market and credit risks are naturally integrated.
As exposures mount, energy firms take up credit optimisation
Energy turmoil spurs demand for new counterparty rebalancing services in gas and power markets
Discover, Capital One credit card delinquencies surpass pre-pandemic levels
Seven credit card lenders see delinquency rates accelerate after slowing in Q2