Point-in-Time PD Curves: IFRS9 / CECL Applications
In the era of increased regulatory scrutiny, banks and other lenders have a growing need for Point-in-Time default risk estimates to satisfy IFRS9 and CECL accounting standards. However, the methodology and construction of these estimates vary significantly between different institutions. These institutional differences mean a simple impairment calculation for a standard loan could potentially vary […]
Recent Trends in Sovereign Credit Risk
Sovereign credit risk is important: not only do changes in government borrowing rates affect public funding, these same rates impact investment portfolios broadly. Sovereign risks serve as fundamental inputs to the analysis of most entities, especially corporate and financials. Sovereign credit risk is typically driven by country-specific factors, like the current situation in Venezuela, although […]
Chinese Banks: Will Improving Credit Support Trade Pledges To The US?
The US-China trade talks this month could be critical to the global economic outlook for the next few years. One Chinese proposal is for a sustained reduction in its trade surplus though a combination of monetary and fiscal expansion, in addition to targeted trade incentives. China’s debt levels have been a persistent concern, doubling over […]
Corporate & Financial Credit Trends in Bank-Sourced Data 2016-2018
The latest whitepaper from Credit Benchmark reports on major credit trends for the period 2016-2018. It covers the main industries in the US, UK and EU ex UK, as well as Technology, Oil, Airlines and Sovereigns. The main conclusion is that credit risk assessments are becoming more volatile – which may signal increasing concern about […]
Wholesale Credit Regulations: An Uneven Playing Field for All
The Basel 2017 reforms have highlighted transatlantic differences in the implementation of wholesale banking regulation. There exists a significant gap between banks in the US and the rest of the world; this gap is due to genuine regional, business mix and obligor differences, as well as varying interpretations of the regulations in different jurisdictions, and […]
Supply Chain Credit Risk
Global supply chains have become increasingly complex, and supply chain risk management (“SCRM”) is a major issue for most large corporates. Globalization of trade flows means that SCRM increasingly features in trans-national trade discussions. For example, a key issue in the current Brexit negotiations is the complexity of the supply chain across the UK and […]
Benchmark Risk and Portfolio Analytics
Credit Portfolio Management and Bank-Sourced Benchmarks May 2018Benchmark Risk and Portfolio Analytics Overview This paper demonstrates the role of bank-sourced benchmarks and indices in credit portfolio management (“CPM”). All banks aim for optimal risk-adjusted returns across their book of business, but there is an increasing focus on credit portfolio diversification in comparison with their competitors. […]
Donald Trump and the Economy
The “Trump Effect” Donald Trump and the Economy – The first year of the Trump administration has not been dull. Radical domestic and foreign policy announcements, dramatic White House personnel changes, and allegations about Russian interference in the election – these have captivated traditional and social media. But behind the scenes, Donald Trump has had […]
Retail Industry Trends
US Retail Sector: Credit Trends December 2017Retail Industry Trends “The number of people visiting U.S. stores on Thanksgiving and Black Friday fell 4% from last year, according to RetailNext Inc., which analyzes in-store videos to count shoppers. Meanwhile, online sales increased 18% over that period, said software company Adobe Systems Inc., a […]
Bank-Sourced Credit Indices
October 2017Credit Index Executive Summary Download the PDF “Bank-Sourced Credit Indices” Overview This paper presents a new and unique way of tracking real-world credit risk, using bank-sourced data to construct indices based on forward-looking credit risk estimates. Indices derived from real-world credit estimates tend to show low correlations with other risk-related macroeconomic data, providing an […]
