Credit risk
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Enhancing counterparty credit risk management in modern banking
A webinar addressing banks' strategies for optimising credit risk mitigation strategies and utilising risk-sensitive margining to manage counterparty exposures effectively
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Credit risk management solutions 2024: market update and vendor landscape
A Chartis report outlining the view of the market and vendor landscape for credit risk management solutions in the trading and banking books
New CDS index delayed by regulatory capital concerns
Dealer worries about impact of self-referencing trades derail CDX Financials launch at last minute
China CDS users slow to embrace new credit event panel
Decisions from Nafmii determinations committee yet to be switched on in agreements
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Key indicators for the credit risk evaluation of clients and their changing characteristics
The authors propose a credit risk evaluation model for energy performance contracting projects with debt- paying ability and long-term capital debt ratio as optimal indicators.
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
Tracing credit contagion effects from corporates to the real estate sector
S&P Global Market Intelligence explores possible credit contagion effects from the corporate sector to real estate by using S&P Global Ratings’ research and underlying data to formulate clients’ own views on risks in the sector
Napier Park to increase investment in bank risk transfers
Hedge fund sees secular trend in lenders offloading credit risk, and plans to be part of it
ANZ’s end-period VAR spikes to highest in a decade
Interest rate risk drives 53% surge; market risk up A$1.6bn
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
How Man Group’s private credit arm keeps risk in check
Mid-market lending no place for weak covenants, flexible addbacks or payments in kind, says Varagon CEO
For a growing number of banks, synthetics are the real deal
More lenders want to use SRTs to offload credit risk, but old hands say they have a long road ahead
One-tenth of US banks exceed CRE concentration thresholds
US supervisors face operational challenge with constellation of 536 lenders above risk benchmarks at end-2023
Risk, portfolio margin, regulation: regtech to the rescue
This Whitepaper addresses the complexity of today’s risk environment for market professionals which can only be fully met with a regtec approach. Cost, competition, technology capability, and regulation influence and drive decision making.