Credit risk
PGIM trades reinforce Citi’s credit options stronghold
Counterparty Radar: US retail funds’ aggregate notional drops to lowest levels since late 2020 in Q1
Trading risks and a spotlight on XVA
Panellists at Risk Live Europe 2023 discussed the usefulness, limitations and outlook for valuation adjustments
Norinchukin’s credit RWAs up 31% on early Basel III opt-in
Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Partial relief for synthetic securitisation in final EU rules
Internal model banks will see punitive multiplier reduced, but standardised banks miss out
Plumb job: can Basel III unblock US credit risk transfer?
Deals from G-Sibs have slowed in recent years due to regulatory confusion over capital relief
Lenders try to move fast and fix things in UK BTL market
Relaxing stress tests when buy-to-let clients switch banks to remortgage is key to avoiding a credit squeeze
Scope of CDS anti-fraud rule raises concerns
Funds holding bond and swaps positions at risk under new SEC rule, warn lawyers
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Benchmarking machine learning models to predict corporate bankruptcy
Based on a comprehensive sample, the authors benchmark machine learning models in the prediction of financial distress of publicly traded US firms, with gradient-boosted tress outperforming other models in one-year-ahead forecasts.
Bank of the West brings C$730m in loan provisions to BMO
Acquired book comes with 2.5x the quarterly charges booked by BMO standalone
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
A modified hybrid feature-selection method based on a filter and wrapper approach for credit risk forecasting
This paper proposes the chi-squared with recursive feature elimination method: a means of feature-selection which aims to improve classification performance using fewer features.
Small and medium-sized enterprises’ time to default: an analysis using an improved mixture cure model with time-varying covariates
The authors put forward a method using a support vector machine to enhance the exploration of nonlinear covariate effects if SMEs never default while also considering time-varying and fixed covariates for the incidence and latency of an event.
Bank of the West sale lops 13% off BNP Paribas’s CRE exposure
Disposal of US lender included €11.1bn in loans to creaky sector
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
FRA-OIS demise leaves hole in bank treasury risk management
Banks now face ‘greater downside’ to widening credit spreads
Challenged single-name CDS market takes optimistic turn
Trading has boomed despite recent criticism, but can the market regain its former strength?
How banks can avoid bad haircuts on hedge fund trades
HSBC quant makes case for looking at collateral and funding rates in concert
Goldman’s sale of Marcus drives record PCL release
Partial disposal of retail arm costs bank $470 million, but nets first release into income since Q2 2021
Asia moves: Senior hires at Citi, Nomura and more
Latest job news from across the industry
Sovereign credit risk modeling using machine learning: a novel approach to sovereign credit risk incorporating private sector and sustainability risks
The authors investigate the effect of spillover effects from private sector risks on sovereign debt risk and the impact of rising sustainability risks on sovereign credit risk using the XGBoost classification algorithm and model interpretability…
Credit Suisse CDSs offer no reprieve for AT1 losses
Legal experts pore over credit definitions after AT1 writedown
ING’s Russia loans sour five times faster than UniCredit’s
Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022