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 ...

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

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 ...

This paper studies key determinants of public interest assessments in EU bank resolution with a focus on three factors: systemic risk, bank size and bank ...

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

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 ...

Henry Penikas (Doctor of economic sciences) is a project manager at the Bank of Russia (BoR) Research and Forecasting Department, having initially worked for two years within the BoR Banking ...

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 ...

Andrzej R. Stopczyński, PhD  is an experienced risk management professional and academic, currently serving as an Associate Professor at the Institute of Finance at the University of Łódź. He also ...

Researchers have found that one in four roles at the US Federal Reserve could benefit from the use of generative AI (GenAI), signalling the vast potential for its use within the central bank. However, ...