Adjoint credit risk management
Adjoint algorithmic differentiation is one of the principal innovations in risk management in recent times. Luca Capriotti and Jacky Lee show how this technique can be used to compute real-time risk...
View ArticleCredit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and...
View ArticleHow to hedge CVA without being hurt
Banks can reduce their CVA capital burden by using regulator-approved hedges, but only at the risk of painful accounting losses. The solution is a new hedging instrument that works under both regimes....
View ArticlePath-consistent wrong-way risk
In this paper, Klaus Böcker and Michael Brunnbauer define a general copula wrong-way risk (WWR) model and show how different copulas affect results such as potential future exposure and credit...
View ArticleCredit portfolio manager of the year: Crédit Agricole
Innovative structuring allowed Crédit Agricole to transfer trade finance risk to an arm of the World Bank, freeing up capital. The bank's CPM team also saw its role expand to cover liquidity and funding
View ArticleCCPs confront the difficult maths of default management
When a member of a clearing house goes down, surviving banks send some of their coolest heads to help run the default management process. It worked well when Lehman Brothers collapsed, but there are...
View ArticleIMF report calls for reform of securitisation markets
Staff report emphasises need to make securitisation practices more robust while spurring demand; calls for standardised classifications of underlying risk characteristics
View ArticleWarehousing credit risk: pricing, capital and tax
Warehousing of credit risk increases capital requirements and influences profit and loss. Profits are taxable and losses provide tax credits. Here, Chris Kenyon and Andrew Green extend the...
View ArticleBIS research posits test for unsustainable credit growth
Authors link long-run credit growth with leverage and debt service ratio, proposing a model they claim would have helped predict the 2008 financial crisis three years before it struck
View ArticleMalaysia central bank: credit reporting could unite Asean markets
The Asean Economic Community faces a challenge of successfully integrating regional financial markets, Bank Negara's Muhammad bin Ibrahim says
View ArticleBanks attack proposed risk weights for specialised loans
EU lenders say both of the EBA’s suggested methods for risk-weighting real estate and other specialised loans would distort regulatory capital
View ArticleWrong-way risk done right
Here, Jacky Lee and Luca Capriotti present an arbitrage-free valuation framework for the counterparty exposure of credit derivatives portfolios. The method is able to consistently capture the effects...
View ArticleFVA for general instruments
Computing the funding valuation adjustment (FVA) is hard, as it requires the numerical solution of generally non-linear partial differential equations. In this paper, Alexander Antonov, Marco...
View ArticleJumping with default: wrong-way risk modelling for CVA
Fabio Mercurio and Minqiang Li investigate credit valuation adjustments (CVAs) in the presence of wrong-way risk by introducing jumps at default to model the correlation between counterparty default...
View ArticleCVA with Greeks and AAD
Calculating CVA is a daunting task. Here, Adil Reghai, Othmane Kettani and Marouen Messaoud introduce a new approach for CVA valuation in a Monte Carlo setting using adjoint algorithmic...
View ArticleIndustry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
View ArticleBanking redefined: Helping clients succeed in the new market structure
The relationship between banks and their clients is changing. Clients face a range of new challenges arising from higher capital requirements and changing market structure, notes Mark Goodman, UBS...
View ArticleLoan classification under IFRS 9
IFRS 9 requires classifying non-defaulted loans in two stages depending on their credit quality evolution since initial recognition by the bank. In this paper, Vivien Brunel proposes an optimal way to...
View ArticleInterview: US Treasury CRO on credit risk, Tarp and cyber threats
Ken Phelan stresses importance of credit risk management in key Treasury role
View ArticleBanks: OCC guidance forced downgrade of healthy energy loans
Loans with low loss given defaults now considered impaired, lenders complain
View ArticleMultiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
View ArticleBasel 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
View ArticleBanks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
View ArticleCLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
View ArticleSpike 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
View ArticleBanks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
View ArticleMonthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
View ArticleRisk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
View ArticleManaging and monitoring a single view of concentration risk
Banking standards for monitoring and controlling large exposures have uncovered a need for tools that can streamline credit risk management systems and create a single enterprise-wide view of risk as...
View ArticleExploring a new frontier: Using cognitive technology to strengthen credit...
Cognitive technology has the power to enhance the efficiency and accuracy of credit risk management practices, but views on implementation remain mixed. As these new technologies become more...
View ArticleMonthly credit data review: the Amazon effect and a rising Russian state
David Carruthers of Credit Benchmark looks at bank, sovereign and corporate credit risk data
View ArticleMonthly credit data review: energy sector firing on all cylinders
Bank-sourced credit data shows rising confidence about oil and gas firms
View ArticleCalibrating Heston for credit risk
Marco de Innocentis and Sergei Levendorskiĭ describe a faster and more accurate method for market-implied calibration of the Heston model
View ArticleMonthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality; EU financials now on par
View ArticleCredit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
View ArticleDoes credit risk need an expected shortfall-style revamp?
Quants propose tail risk-sensitive measure for counterparty credit risk
View ArticleMorgan Stanley, Wells not sold on AI for credit scoring
Risk USA: Lenders warn on AI model risks and use of non-traditional data
View ArticleCredit risk – Building on a foundation of quality data
Credit risk analysts at emerging market banks not only need high-quality data, but also the necessary tools to manage it. Improving consistency and reducing the risk of errors in credit risk data...
View ArticlePBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
View ArticleNatural language processing and transformer models for credit risk
News feeds are factored into models to predict credit events
View ArticleAccelerating the evolution of credit decisioning and modelling
Anthony Mancuso, director, global head of risk modelling and decisioning at SAS explains the importance of developing a fully capable credit modelling lifecycle to empower non-specialist personnel, and...
View ArticleDriving greater value in credit risk and modelling
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in...
View ArticleThe wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But...
View ArticleCredit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more...
View ArticleXVAs and counterparty credit risk for energy markets: addressing the...
In this webinar, a panel of quantitative researchers and risk practitioners from banks, energy firms and a software vendor discuss practical challenges in the modelling and risk management of XVAs and...
View ArticleSec-lending haircuts and indemnification pricing
A pricing method for borrowed securities that includes haircut and indemnification is introduced
View ArticleShadow banks eye accounts receivable as lenders retreat
Providing loans against unpaid invoices is an old business that is being done in some very new ways. Facing increased capital costs, banks are retreating into a distribution and structuring role, with...
View ArticleExposing actionable insights in credit risk management
Business leaders from Moody’s Analytics and Qlik discuss the value of industry data and visual analytics
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