Default risk
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
Nomura’s market risk jumps ¥800bn in Q2
Yen depreciation and rising default risk drive RWAs to record high
US banks endure climb in charge-off rates
Write-offs spread from consumer and CRE portfolios to other corporate lending
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
JSCC, ASX see hypothetical stress loss breaches in Q1
Single-member default in worst-case scenario would have exceeded available resources
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Drilling for default: dry run gives CCPs a Lehman-like lesson
Member default simulation finds standardisation and porting could help in a crisis, and moots unscheduled repeat drill
China CDS users slow to embrace new credit event panel
Decisions from Nafmii determinations committee yet to be switched on in agreements
Default prediction based on a locally weighted dynamic ensemble model for imbalanced data
The authors put forward a locally weighted dynamic ensemble model which can predict financial institutions' default statues five years ahed.
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
Characteristics of student loan credit recovery: evidence from a micro-level data set
The authors investigate delinquent student loans, identifying factors which influence the likelihood of recovery and proposing means to improve student loan credit recovery rates.
As FCMs dwindle, regulators fear systemic risk
Panellists highlight dangers of clearing membership becoming more concentrated
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
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
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Forecasting the default risk of Chinese listed companies using a gradient-boosted decision tree based on the undersampling technique
The authors put forward a model for default prediction designed to minimise the impact of imbalanced classification, verifying its effectiveness with real world data from Chinese listed companies.
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.
Mission-critical risk frameworks vital for navigating volatility
Financial markets in 2023 have been marked by heightened volatility, and driven by economic uncertainty, geopolitical tension and technological disruption against a backdrop of digitisation. As the repercussions of bank failures and rising defaults…
Leveraged wrong-way risk
A model to assess the exposure to leveraged and collateralised counterparties is presented
Liquidity risk triples at Nasdaq in second quarter
Updated model extends time horizon to seven-plus days
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers