We are excited to introduce the second part of our special issue series on “Cryptocurrencies, the metaverse and the future of DeFi” for The Journal of Credit Risk. The first part explored the role of ...

Data shows drop in plans to pitch or switch vendors, amid tighter third-party rules – but TPRM bucks the trend ...

This paper puts forward a dual-layer approach to climate risk management with utilises root cause-based analysis and severity ...

Credit valuation adjustment (CVA) risk-weighted assets (RWAs) spiked at two Singaporean banks in the second quarter, reaching their highest levels since at least 2018. DBS Bank’s CVA RWAs climbed 12% ...

Hedge funds are reloading their short dollar bets – with a few new twists – ahead of US Federal Reserve chairman Jerome Powell’s highly anticipated keynote speech at the central bank’s annual Jackson ...

For years, senior staff of the Bank of England have been warning about the systemic risks posed by excessively leveraged non-bank financial firms. The tariff-driven market volatility in April showed ...

Mitsubishi UFJ Financial Group (MUFG) offloaded 27.1% of its available-for-sale (AFS) Japanese government bond (JGB) portfolio in the second quarter, bringing holdings to their lowest level in more ...

The author applies the Bernoulli distribution to an extrapolation of the capital provision that does not take into account ...

This paper discusses a new estimator for probability of default and compare its performance against two alternative ...

Repo market participants are calling for regulators not to drag special collateral repo into the growing discussion around ...

Swaptions and constant maturity swap spread options are essential to calibrating interest rate models yet remain computationally demanding. Toufik Bellaj, Khalid Bellaj and Hicham Nait Yahia propose a ...

New models revolving around expected shortfall enabled Nomura to shave a third off market risk charges as of end-March, in the worldwide debut of the internal models approach (IMA) under the ...