Credit risk
Capital One’s CRE charge-offs creep back up
Office property segment pummelled hardest, as charge-off rates increase twelvefold in Q4
Deutsche tops EU lenders in mid-2024 surge for bad CRE loans
German lender worst hit among bloc’s systemic banks as soured exposures rose 153% in 12 months
Adopt hybrid cloud to resolve the false dilemma between resilience and modernisation in banking
This study explores the challenges banks in Asia-Pacific face in enhancing operational resilience, and how they plan to leverage data and hybrid cloud in building operational resilience
CDS market awaits uncertain Intrum auction result
Swedish firm’s restructuring deal limits flexibility in settling contracts, risking curbs on payouts
The Path To Operational Resilience Begins With Reliability And Risk Management
This study will explore the challenges that financial services firms in APAC face in enhancing operational resilience as well as how they plan to leverage data and hybrid cloud in building operational resilience.
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Futures exchanges look to ride credit ETF wave
Proponents hope for increased buy-side trading, with three exchanges competing for market share
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Credit portfolio manager of the year: UniCredit
Risk Awards 2025: A focus on economic value-added prompted a rapid expansion of the bank’s synthetic risk transfer activity
Credit derivatives house of the year: JP Morgan
Risk Awards 2025: Continued investment in credit has created a virtuous circle of growth, as cash products support derivatives, and vice versa
Credit traders await resolution on delayed swaps index
Market participants confident CDX Financials fix will overcome regulatory obstacles
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
Consolidation of Arval exposures adds €20bn to BNP Paribas’ RWAs
Bank shifts exposures from soon-to-be retired equity IRB treatment to standardised approach