Whitepapers
CVA: Applications of Credit Consensus Ratings
Traditional CVA pricing often relies on incomplete or proxy data—especially for unrated or private counterparties—leading to inaccuracies in capital, risk, and pricing decisions.
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Navigating the Uncharted Waters of Post-COVID Trade Credit Risk
Global supply chains were showing signs of strain pre-COVID and now that the world economy is in the process of a full-scale restructuring, the credit implications are wide-ranging and long-term. This whitepaper details some factors reshaping supply chains and presents single company case studies using a combination of Bloomberg supply chain data and Credit Consensus Ratings (“CCRs”).
The Covid Year: Review of Credit and Solvency Trends in 2020
The 2020 pandemic brought various forms of disruption and hardship, and Governments and businesses around the world had to rely on trial and error to find the best response. There have been some high-profile corporate winners – and many losers. This report shows the key credit and solvency trends that emerged in 2020 and provides some pointers towards what we can expect in 2021.
Impairment Trends: Consensus Point-in-Time Curves
The COVID-19 crisis has highlighted how sensitive banks’ impairment numbers are to changes in the economy. In a new report, we use aggregated PIT PD curves to look at the impact COVID-19 has had on banks’ forecasts of credit risk and impairment.
How the Virus Crisis Infected Credit & Solvency: Global Trends
Credit Benchmark have released a new whitepaper, using Consensus credit estimates for the past few months to assess the impact of COVID-19 on credit and solvency across the global economy. The analysis looks at countries, industries, and sectors, as well as individual corporate borrowers.
Basel IV Rules: The Impact Upon Capital Markets and the Securities Finance Industry
The forthcoming Basel IV regulations present a large-scale challenge for the securities finance industry. A new paper by Credit Benchmark outlines the cost ramifications of new rules limiting banks’ use of internal rating models for RWA purposes and the introduction of 100% RWA for unrated obligors.
The purpose of this paper is to help raise awareness of these regulations, to highlight their potential impact and to issue a call to action.
Sub-Custodians: Networks Reveal Credit Risk
The increasing complexity of global sub-custodial networks means less clarity about where an asset is held – and the credit risk of the legal entity holding it. A new whitepaper by Credit Benchmark maps this interconnectivity and sheds light on hidden potential credit risks within these networks.
