Credit risk
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
Merton’s model with recovery risk
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
A general firm value model under partial information
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
The economic impact of Covid on the US housing and mortgage market
Covid-19 has fundamentally reshaped consumer behaviour. Combined with drastic changes in federal government policy, the impact on financial markets will be long-lasting.
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
A new approach to detecting change in credit quality
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
Major lender hikes borrowing costs as crypto flounders
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
Hyperautomation in Anti-Financial Crime: Powering Transformation
This report explores the need for banks to invest in anti-financial crime (AFC) operations that are more effective and efficient.
Nationwide’s IRB charges up 89% on PRA’s parameter curbs
The building society’s strict focus on mortgages meant impact was all-sweeping
CDS market mulls settlement options for Russia contracts
Tightened US sanctions threaten CDS default auction, leaving users a choice of imperfect alternatives
How will US regulators perform the Basel III balancing act?
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Active credit portfolio management: audiocast
In this Risk.net audiocast, Zoi Fletcher speaks to Biagio Giacalone and Alexis Hamar about how active credit portfolio management can be the linchpin of improved risk/reward ratios and how the efficient use of capital drives banks’ overall profitability.
Banks’ loan-loss forecasts diverge in BoE climate exercise
Dispersion of estimates for corporate impairments highlights variety of assumptions for modelling climate risk
Credit RWAs for EU, UK banks up in Q1 amid IRB clampdown
Reforms to improve comparability of internal models compound declining asset quality
What drives the convertible bond market?
This whitepaper looks at the key drivers that influence the convertible bond market and how it provides unique opportunities for both investors and issuers.
Take advantage of relative value credit opportunities with advanced bond analytics
This whitepaper explores the challenges of bond analytics and how access to the right analytics can provide opportunities for more comprehensive trading strategies.
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Mifid II transaction reporting and risk management – The quest for quality
This report is based on a Risk.net survey commissioned by London Stock Exchange Group, which was completed in August 2021.
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
Isda set to draft China netting opinion
Banks could be in a position to turn on close-out netting in China by third quarter
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo