Ratings
Boeing’s descent to junk doesn’t scare investors
Analysts and managers say market can absorb any selling pressure from potential downgrade
NAIC softens its rating overhaul. Insurers still don’t like it
Insurers worry that the regulatory body could override credit ratings without sufficient explanation
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk
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
Banking ALM outlook 2024
Video Q&A with Andrew Aziz, chief strategy officer and head of product, SS&C Algorithmics
S&P Global Market Intelligence RatingsDirect® leverages AI for more precise insights in volatile markets
Zoi Fletcher speaks to Clemens Thym, S&P Global Market Intelligence, about how his team is enhancing RatingsDirect® with AI and adding value with ratings research
Creaky credit sparks ‘high’ dispersion in CLO pricing
Investors are becoming more particular when it comes to tranches and managers
An NAIC plan to second-guess bond ratings is ‘nonsensical’, insurers say
Proposal to create “quasi rating agency” at regulatory body sparks backlash from industry and US Congress
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Single climate risk metric ‘not realistic’, says Bank of England
Senior official argues banks and investors must weigh up multiple factors when assessing climate risk
A pricing model with dynamic credit rating transition matrixes
This paper incorporates a stochastic credit rating transition matrix into the Acharya–Das–Sundaram model and implements a simulation based pricing method
Insurers’ favourite credit rating becomes more expensive
US institutions face a dilemma: go up a rating and lose yield or go down a rating and increase risk
Even Covid couldn’t stop insurers buying risky CLO tranches
NAIC rules make mezzanine debt more attractive than AAAs or corporate bonds with similar ratings
Ethical ratings stir debate over saints and sinners
Asset manager Aegon hits out at “flawed” ESG ratings methodologies
US pension fund teams up with academics to cut through ESG fog
State fund and MIT’s business school look to improve ESG data and to reflect all investors’ views
Buffer stops? Why banks haven’t used Covid capital relief
Amid weak credit demand, banks haven’t availed themselves of capital buffers, but they still might
SOFR, credit quality and scenario construction
The week on Risk.net, June 13-19, 2020
China bond buyers tiptoe through credit analysis minefield
State backing for domestic companies is hard to gauge, as new investors are discovering