Recession
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
AI models point to recession, but quants won’t trade on them
Predicting the odds of a recession, and how markets will respond, is still a step too far for machines
When stagflation looms, investors get no satisfaction
In a toxic inflation-stagnation mix, conventional trades and hedges falter; alternatives are unproven
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
HSBC exhausts leverage headroom in Fed stress tests
Goldman Sachs worst performer among US banks
Building forward-looking scenarios: why you’re doing it wrong
Rick Bookstaber and colleagues describe a process for constructing effective scenarios
Bankcard performance during the Great Recession: a consumer-level analysis
This paper investigates factors associated with high credit card loss rates during the period 2008–11 associated with the Great Recession.
IFRS 9 and the loan loss lottery
As reserves for bad loans balloon, banks grapple with measuring Covid-era credit risk
Fitch Solutions Pulse Survey – The economic impact of Covid-19
The global health crisis precipitated by the Covid‑19 pandemic has dealt a sharp, swift blow to the global economy. As companies emerge from the initial shock, Fitch Solutions surveyed its global client base to understand how business leaders view the…
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…
Covid transparency would soothe markets – Harvey
“Why aren’t our policy-makers sharing their models?” asks Duke University economist
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
Fed’s stress tests to gauge banks’ leveraged loan risks
CLOs to suffer “severe corrections” under 2020 scenario
Fed Funds Futures in a Post-ZIRP World
As the FOMC returns to more active management of its key target rate, Federal Funds futures have experienced dramatic growth.
Libor transition and implementation – Covering all bases
Sponsored Q&A
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
Economists, like hedge fund traders, need open minds
Economists, risk managers and traders must learn the lessons of crisis, says Kaminski
Economic depression is world's top risk, says Towers Watson ranking
The global financial environment continues to show imbalances, and is not in a good position to withstand shocks, says Tim Hodgson
Oil price outlook
At the crossroads
The gathering storm
The gathering storm