Credit risk
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Driving greater value in credit risk and modelling
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in the future
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Scalability could trump complexity in machine learning debate
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers
How US funds trade defaulting CDS names
Counterparty Radar: Funds slashed sold positions ahead of 2020’s auctions but post-default Argentina remains a focus
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Study fuels doubt over benefits of climate risk-weights
Research finds both green supporting factor and carbon penalising factor have drawbacks
A survey of machine learning in credit risk
This paper surveys the impressively broad range of machine learning methods and application areas for credit risk.
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
Risk Technology Awards 2021
Recognising vendor excellence in credit, operational and enterprise-wide risk management
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat