Crowd-Sourced Credit Transition Matrices
Whitepaper // No.7November 2016Transition Matrices Download the PDF “Crowd-Sourced Credit Transition Matrices“ The latest CECL and IFRS9 accounting rules require banks and corporates to estimate potential losses over the entire life of a loan. Transition matrices can provide considerable insight into the likely pattern of losses over various time horizons. Credit transition matrices (“CTMs”) are […]
Measurement Of Sovereign Credit Quality
Whitepaper // No.6September 2016Sovereign Credit Ratings Download the PDF “Measurement Of Sovereign Credit Quality“ So far this year, the main credit rating agencies have been downgrading Sovereigns at the highest rate since 2009. Credit losses arising from Sovereign debt crises are rare, but when they do occur they may have major consequences, and the amounts […]
Sovereign Credit Default Swaps And Consensus Credit Estimates
This White Paper shows that consensus credit risk data sourced from IRB banks can be combined with market data to give realistic, indicative valuations for a broad range of traded and untraded assets. This framework has many applications, not just for Sovereign CDS but also for Corporate CDS and bonds, as well as bilateral loan insurance […]
Impact Of BCBS Proposals On IRB Banks
The Basel Committee on Banking Supervision recently published wide-reaching proposals for reducing variation in Credit Risk Weighted Assets, with a call for responses by the end of June. The Credit Benchmark submission aims to quantify some of the possible positive and negative impacts of the BCBS proposals. This report is based on the monthly Ex […]
Sovereign Default Risk In Developing Economies
This paper examines the use cases for Credit Benchmark’s Consensus Probabilities of Default (Consensus PDs), in the context of more established indicators of Sovereign Default Risk. We suggest that Consensus PDs, as an additional dataset that is both robust and broad, can play a valuable role in compensating for low signal-to-noise in other metrics. It […]
Introduction For Credit Portfolio Managers
Credit Benchmark is a market-led response to three of the most critical issues facing credit risk professionals: 1) The need to improve credit risk management through internal benchmarking, 2) The requirement to justify internal model outputs to supervisors, 3) The insufficiency of robust external data. This note examines the applications for Credit Benchmark Consensus Risk Estimates within the Credit […]
Sovereign Bond Risk Management
In the current low yield environment, many Sovereign bonds issued by different countries are priced at similar levels. However, this report demonstrates that default probability estimates made by IRB banks for the same sovereigns show major differences. Using data from 2011 and 2012, this report provides a framework for pricing default risk with important implications […]
