Default risk
EU banks’ incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit 10-year high at BNP Paribas
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
Worst-case double default would have caused breach at CME
Stress loss based on hypothetical scenario was $390m higher than prefunded resources
Inside Blackstone’s $150bn private credit business
Talking Heads 2023: Alts giant has around 10% of global market and hopes to expand its reach by porting quant insights from liquid credit
US banks see net charge-offs up 21% in Q2
Synchrony and Discover lead rise, predicting rates might peak in 2024
Like your CSA dirty? It’ll cost more
Buy-side firms have to pay up if they want to post corporate bonds to their dealers, but prices vary
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
Creaky credit sparks ‘high’ dispersion in CLO pricing
Investors are becoming more particular when it comes to tranches and managers
Default forecasting based on a novel group feature selection method for imbalanced data
The authors construct a group feature selection method which combines optimal instance selection with weighted comprehensive precision in an effort to improve the performance of prediction models in relation to defaulting firms.
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Eurex scrambles to avert Treasury collateral ban on US default
Current policy prevents CCP from selectively excluding eligible collateral
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.
Synchrony and Discover lead US banks on rising net charge-offs
Executives expect trend to continue as credit normalisation proceeds apace
Banking on personality: psychometrics and consumer creditworthiness
This paper uses empirical methods to investigate how psychometric data can be used to augment traditional credit models.