Credit risk
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
US banks face questions over bad oil loans
Resilience of hard-hit regional lenders scrutinised as losses mount
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Credit risk spillover between financials and sovereigns in the euro area, 2007–15
This paper proposes a method based on Granger causality to measure the level of contagion between financial institutions and sovereigns.
Technological nightmares worry Zurich Global Corporate CRO
Cyber crime and nanoparticles represent emerging risks for insurers, says John Scott
Blockchain tech for derivatives CCPs – friend or foe?
Distributed ledgers can benefit – and won't replace – CCPs, says Nasdaq Clearing president
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Dynamic credit score modeling with short-term and long-term memories: the case of Freddie Mac’s database
This paper investigates the two mechanisms of memory, short-term memory and long-term memory, in the context of credit risk assessment.
A framework for market, credit and transfer risk aggregation and stress testing
The authors develop a framework that consistently and fully integrates the market, credit and country transfer risks of a general portfolio of financial assets in a multi-period setup.
Market pricing of credit linked notes: the influence of the financial crisis
This paper analyzes whether the financial crisis of 2007–9 had an effect on the mispricing of CLNs.
Swap auction frictions prompt search for new tactics
Standards may be needed to preserve benefits of credit-auction approach to big swaps
Mixed industry reaction to Moody’s CCP ratings
Clearing members say narrow definition of default may limit ratings’ usefulness
Risk solutions house of the year: Goldman Sachs
US bank restructured huge Swiss franc swap during market turmoil
Updating the option implied probability of default methodology
This paper updates the option implied probability of default (iPoD) approach recently suggested in the literature.
Step ahead of shadow banks and stay within your risk appetite
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Risk management: different industries, different drivers
Energy firms get wise on credit risk; asset managers tackle op risk
A mean-reverting scenario design model to create lifetime forecasts and volatility assessments for retail loans
The authors of this paper develop a modeling framework that can incorporate mean-reverting scenarios into any scenario-based forecasting model.
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
Loss distributions: computational efficiency in an extended framework
This paper contributes to the literature for mixture models by leveraging an efficient algorithm for computing the density function of the loss distribution and extending the model in two key areas: constructing the systemic variable from a continuous…
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
IFRS 9: Managing the transition to the new loss modelling
Sponsored webinar: Wolters Kluwer
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.