Credit Risk
260 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.
Exposure monitoring in a fully margined world
It is widely accepted that the introduction of bilateral margining requirements for non-cleared OTC derivatives will lead to a reduction in counterparty risk. This paper focuses on the prospect of eliminating counterparty exposure through margining and the implications for credit risk policy makers.
The fair value of defaultable bonds and bank loans - a practitioners’ guide
This white paper deals with the pricing of defaultable assets, whether corporate bonds or bank loans, in terms of theoretical and practical issues alike.
Rethinking XVA sensitivities: Making them universally achievable
This white paper explores XVA calculation techniques that can accelerate performance and give banks an advantage over competitors. It further explores the benefits of calculating XVA’s using adjoint automatic differentiation over the ‘bump and run’ technique.
Managing Fraud Risks in the Digital World
This white paper examines the 4 key emerging fraud risks related to digital payments. It further explores how to implement anti-fraud tools and technology, as well as the top five minimum requirements to achieve effective and optimal fraud management.
Risk-Aware Finance and the Changing Nature of Credit
This report explores how credit and analytics are shifting to address today’s regulatory and business challenges. It further explores why finance departments must embrace risk awareness and offers practical advice for FIs on how best to adapt their people, processes and technology to achieve…
Prometeia's Insights: The 2018 EBA/ECB stress test
This white paper examines the European Banking Authorities (EBA) and European Systematic Risk Boards (ESRB) release of macroeconomic scenarios for EU-wide stress testing. It further explores a possible approach to manage the sensitivities of risk parameters to these given scenarios.
The Changing Landscape for Credit Risk Management: From silos to convergence with enterprise risk
This white paper explores how the new regulatory and accounting rules are driving convergence with enterprise risk. Further explore the paper to examine the implications that this will have on credit risk modelling.
Firmwide Scenario Analysis and Stress Testing
This white paper examines the different approaches for managing firm-wide scenario analysis and stress testing. Further explore the paper to discover how your firm can implement a successful strategy while avoiding the barriers to success.
Interest Rate Risk In The Banking Book (IRRBB): How BCBS 368 Will Affect ALM
This white paper examines the key elements of Basil’s updated rules for IRRBB and the effect they will have on a banks’ ALM strategy. It further explores how a well-thought-out tenor mismatch strategy can initially boost net interest income.
The Acceleration of Emerging Market Swap Clearing
This white paper addresses the reasons driving voluntary clearing of emerging market swaps, including the counterparty, capital and operational efficiencies.