Credit risk
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Banks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
Spike in bad loans raises scrutiny of P2P credit models
Jump in delinquencies at some lenders prompts questions over modelling practices, but firms stand by their approach
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
Multiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
Exposing actionable insights in credit risk management
Sponsored webinar: Moody's Analytics and Qlik
Banks: OCC guidance forced downgrade of healthy energy loans
Loans with low loss given defaults now considered impaired, lenders complain
Interview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
Loan classification under IFRS 9
Vivien Brunel proposes a method to classify non-defaulted loans in accordance with IFRS 9
Banking redefined: Helping clients succeed in the new market structure
Sponsored Q&A: UBS
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
CVA with Greeks and AAD
Reghai, Kettani and Messaoud present new technique to calculate CVA using adjoints
Jumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate CVAs in the presence of wrong-way risk
FVA for general instruments
Alexander Antonov, Bianchetti and Mihai develop a universal and efficient approach to numerical FVA calculation
Wrong-way risk done right
Jacky Lee and Luca Capriotti present an arbitrage-free valuation method for counterparty exposure of credit derivates portfolios.
Banks attack proposed risk weights for specialised loans
EU lenders say both EBA proposals would distort capital requirements
Shadow banks eye accounts receivable as lenders retreat
Hedge funds target 10–12% returns on credit risk from unpaid invoices
Malaysia central bank: credit reporting could unite Asean markets
Asean Economic Community faces challenges, says deputy governor Muhammad bin Ibrahim
BIS research posits test for unsustainable credit growth
Method could provide early-warning system
Warehousing credit risk: pricing, capital and tax
Kenyon and Green model the effects to pricing of credit warehousing, capital and tax
IMF report calls for reform of securitisation markets
Fund says securitisation practices should be tightened while spurring demand
CCPs confront the difficult maths of default management
The next time a big dealer defaults, it will hit a host of swap clearing houses simultaneously