Credit risk
Hedge funds push for transparency in credit determinations
Proposals include more disclosure around meetings and detailed rulings of credit events
Shinhan, Kookmin set aside record reserves amid real estate worries
Kookmin provisions account for 38% of income; 23% for Shinhan
UBS predicts RWA cuts hampered by Basel III, model updates
Planned wind-down of unwanted Credit Suisse assets to be offset by $25 billion in add-ons
Discover and Synchrony net charge-offs keep climbing higher
Bad loan write-offs projected to rise further in 2024 as credit quality deteriorates
Multi-factor default correlation model estimation: enhancement with bootstrapping
The authors propose using a three-factor Merton model to allow more accurate quantification when investigating the credit risk of portfolios.
Soured CRE loans pile up at BofA, Wells Fargo and PNC
Proportion of non-performing loans surges past the pandemic’s worst stretches
Finding the investment management ‘one analytics view’
This paper outlines the benefits accruing to buy-side practitioners on the back of generating a single analytics view of their risk and performance metrics across funds, regions and asset classes.
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
Structured credit: the outlook for 2024
In this webinar produced by Risk.net in association with Numerix, experts discuss the risks, opportunities and outlook for structured credit markets in 2024
At Canada’s big five, impairments keep creeping up
BMO leads the group with bad loans up 39% quarter on quarter
SA-CCR charges double at OCBC in Q3
Singaporean bank’s counterparty credit risk up 28% to multi-year high
Tackling credit risk in turbulent times
Survey reveals Apac CROs’ top credit risk priorities
US climate guidance stokes debate over defining material risks
Banks welcome flexibility, but it could lead to big divergence on climate risk management
Bank balancing: optimising margin and capital in a higher-rate environment
This Risk.net paper, which features leading practitioner insights, assesses the challenges banks are facing in the new higher rate environment and the strategies and tools they are using to optimise margin and capital on their derivatives portfolios.
Tackling credit risk in turbulent times
In September and October, Risk.net surveyed 58 chief risk officers from a mixture of banks and insurers across the Asia-Pacific region on the credit risks they face in the current environment and how they manage them.
Models shed light on opaque private credit markets
Stewart Webster, director of credit and risk at S&P Global Market Intelligence, discusses how his team is providing transparency in this challenging sector of the credit markets.
Climate capital in the balance as EBA rejects green risk weights
European regulator suggests climate change must be factored into existing risk categories
State Street and Northern Trust offload riskless assets in Q3
Combined $40bn plunge sees both banks hit four-year lows
CRE books at Goldman, Morgan Stanley most laden with provisions
Duo increased allowance coverage fastest among top US banks since September 2022
Can CRE credit risk models cope with hybrid working?
As US office use changes, modellers deploy judgement overlays and alternative data to keep up
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.
Early warning signals of credit deterioration to save on potential losses
With financial institutions facing market volatility and high interest risks in 2023, the warning signals cannot be overlooked. It is crucial to have access to reliable and timely indicators of credit deterioration to prevent significant losses. This…
SEC expected to protect CRT in conflicts of interest rule
Decision could come as early as today; high hopes for credit risk transfer exemption
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price