Credit Risk
262 white papers and resources
Risk Library provides a number of credit risk white papers, industry reports and opinions, which can be used to aid the decision making process and to reduce your organisations credit risk exposure. Credit risk is the type of risk that a lender assumes. As a form of compensation for taking on the risk, a lender receives interest repayments at an agreed upon rate. However, if a borrower defaults on agreed repayments, lenders may lose the partial or full sum and interest of the loan. This could result in the lender incurring further costs such as collection of debt owed and disruption to cash flow.
CASE STUDY: DWS Group Improves Credit Trading Performance
This whitepaper is a case study on a recent project that DWS Group undertook to increase straight-through processing rates
Fair valuations - what lies beneath
This whitepaper focuses on the challenges and opportunities facing buy-side and sell-side firms when it comes to determining fair valuations for complex and thinly-traded securities like certain derivatives and fixed income instruments. It highlights the difficulties facing capital markets firms…
CoCo Bonds: a buy-side and sell-side analysis
In this whitepaper we analyze the European AT1 CoCo bonds from a twin perspective. Initially, from the perspective of an institutional investor interested in buying CoCos, we attempt, through econometric techniques, to identify the main variables that influence the level of prices and returns of…
The 2020 Guide to Risk Management
In our 2020 risk management guide, we provide our expert view on the market outlook and outline how you can solve your risk challenges with Risk as a Service – the easy way to manage risk across the enterprise, from complex risk calculations, modeling, analytics, managing risk data and reporting.
EAD Parameter: A stochastic way to model the Credit Conversion Factor
This white paper aims at estimating credit risk by modelling the Credit Conversion Factor (CCF) parameter related to the Exposure-at-Default (EAD). It has been decided to perform the estimation thanks to stochastic processes instead of usual statistical methodologies (such as classification…
How will Banks respond to ECB Validation Reporting and Model Risk Management requirements?
This white paper aims to understand whether and how banks are approaching ECB recent requirements and to identify best practices for compliance.
Model Risk Management | How to measure and quantify model risk?
The intent of this paper is to analyse how model risk management requirements change the banks’ view on their models, especially regarding the quantification of associated risks, and to introduce a new framework methodology.
The Coming Storm: ‘BBB’ Corporates in a Potential Downturn
This Fitch Ratings white paper examines a portfolio of ‘BBB’ category corporate issuers in the U.S. and Europe in the context of differences in the composition and concentration of ‘BBB’ issuance; transition and default (T&D) patterns in past economic downturns; and issuers’ current leverage and…
The XVA State of Play: Its Transformative Impacts
This white paper explores a range of XVA topics, including the evolving use of valuation adjustments, the challenges herein, the structure of XVA desks, and other themes.
How will Credit Spread Risk in the Banking Book be put into practice?
This white paper aims to understand whether and how banks are approaching the assessment of their Credit Spread Risk in the Banking Book (CSRBB), and to identify best practices in preparation for compliance.