wcb pdf file

The Weekly Credit Brief comments on recent occurrences in the global credit markets. It uses the CRI's novel technologies and toolboxes to provide the most up-to-date analyses for the widest range of audiences. It is released on this website every Tuesday and also sent to subscribers via emails.

2024-01-09 The credit outlook of the US healthcare sector deteriorates amidst elevated interest rates and regulatory scrutiny | Share on Facebook | Share on twitter | Share on linkedin
2024-01-02 The credit outlook of German companies deteriorates amidst weakened economic growth | Share on Facebook | Share on twitter | Share on linkedin

2011-12-25 Cost uncertainties cloud Bank of America’s credit outlook | Share on Facebook | Share on twitter | Share on linkedin
2011-12-18 ECB’s latest liquidity boost efforts face uncertainty | Share on Facebook | Share on twitter | Share on linkedin
2011-12-11 Indian firms’ credit outlook downbeat as liquidity squeeze weighs
2011-12-04 EU summit ends with agreements on policy coordination
2011-11-27 Uncertainty remains despite concerted official liquidity support for European banks
2011-11-20 Sovereign crisis deepens as eurozone banks face mounting challenges
2011-11-13 Systemic risk increases as European debt contagion spreads
2011-11-06 Global markets look to Italy as potential liquidity crunch builds up
2011-10-30 As Eurpoean leaders dither, US banks remain vulnerable
2011-10-23 EU to impose mandatory recapitalization on banks
2011-10-16 US banks are facing an array of problems
2011-10-09 Eurozone debt crisis intensifies amid deepening bank woes
2011-10-02 European officials discussing bank recapitalization plans
2011-09-25 Chinese property and banking sectors face deteriorating credit outlook
2011-09-18 Banks on both sides of the Atlantic facing deepening challenges
2011-09-11 Policy makers act as the Eurozone debt crisis intensifies
2011-09-04 Lawsuit adds to US and European banks’ array of problems

This is a quarterly report jointly published by the CRI and Validus Capital Pte. Ltd. The report summarizes the PD performance of listed SME firms across different sectors. It highlights the most significant credit trends within each sector which are deemed practically important for professionals and investors. SMEs traditionally have limited access to capital in the financial sector due to difficulties in assessing their creditworthiness. To confront this issue, the CRI builds up a credit scoring model for SMEs leveraging on its analytical capacity in rating public firms. Through the engagement with its business partners, the CRI strives to contribute to the development of this vital area in a scientifically rigorous way. This publication has been terminated as of Q2 2021.

2021-01-26 - Credit Brief on Singapore SMEs Q4 2020

2020-10-16 - Credit Brief on Singapore SMEs Q3 2020

2020-09-03 - Credit Brief on Singapore SMEs Q2 2020

2020-05-14 - Credit Brief on Singapore SMEs Q1 2020

2020-02-26 - Credit Brief on Singapore SMEs Q4 2019

2019-11-20 - Credit Brief on Singapore SMEs Q3 2019

2019-08-28 - Credit Brief on Singapore SMEs Q2 2019

2019-05-15 - Credit Brief on Singapore SMEs Q1 2019

2019-02-01 - Credit Brief on Singapore SMEs Q4 2018

2018-11-12 - Credit Brief on Singapore SMEs Q3 2018

2018-08-07 - Credit Brief on Singapore SMEs Q2 2018

2018-05-07 - Credit Brief on Singapore SMEs Q1 2018

2018-02-07 - Credit Brief on Singapore SMEs Q4 2017

2017-11-14 - Credit Brief on Singapore SMEs Q3 2017

2017-08-02 - Credit Brief on Singapore SMEs Q2 2017

2017-05-19 - Credit Brief on Singapore SMEs Q1 2017

2017-02-06 - Credit Brief on Singapore SMEs Q4 2016

2016-11-14 - Credit Brief on Singapore SMEs Q3 2016

2016-08-01 - Credit Brief on Singapore SMEs June 2016

2016-06-21 - Credit Brief on Singapore SMEs May 2016

The CRI issues Special Reports on significant or rare events in the credit markets.

The Semi-Annual Credit Summary provides analytical pieces on credit outlooks across regions, economies and sectors. It uses the CRI models intensively and aims to shed light on economic trends and cycles in some economies. It is published in April and October of each year. The Quarterly Credit Report has been terminated since Q3 2019.

*Global Credit Review ended its publications in 2017.

GCR 2016, Volume 6

This sixth volume of the GCR begins with Default Econometrics and Default Application by Weimin Miao and Xuyuan Liu who study the role of corporate default and other exit events in default model estimation and document their empirical effects on applications. In the second article, the International Association of Credit Portfolio Managers (IACPM) conducts a survey on the evolution of credit portfolio management, which allows financial institutions to benchmark their own practices. This is followed by an article on Time-varying Rating Standards and the Distorted Incentives of Credit Rating by Tao Wang who examines the drivers behind time-varying and asymmetric rating standards practiced by rating agencies. Next are The Small and Medium Enterprises and their Credit Reporting System in China by Di Bu and Yin Liao who give their insights on financing difficulties faced by small and medium sized enterprises in China. We conclude this sixth volume of the GCR with an updated NUS-RMI Credit Research Initiative Technical Report, which offers technical details on the implementation of the current CRI corporate default prediction model and its performance. This updated technical report also includes a new section on the Corporate Vulnerability Index (CVI) and revision to how the haircut to other corporate liabilities, used in distance-to-default estimation, is determined. For a more elaborate discussion and update on the CRI default predictions produced thus far, readers are referred to our Quarterly Credit Reports.

Table of Contents

Global Credit Review, Message from the Editor
Default Econometrics And Default Application - By Xuyuan Liu and Weimin Miao
International Association of Credit Portfolio Managers Principles and Practices: 2015 Expanding Role of Credit Portfolio Management - By Som-lok Leung, Marcia Banks and Juliane Saary-Littman
Time-Varying Rating Standards and the Distorted Incentives of Credit Rating Agencies - By Tao Wang
The Small and Medium Enterprises and the Credit Reporting System in China - By Di Bu and Yin Liao
NUS-RMI Credit Research Initiative Technical Report Version: 2016 Update 1 - By RMI-CRI Staff
Editorial Information

*The 6th Volume of GCR is published by World Scientific and can be accessed here

GCR 2015, Volume 5

This fifth volume of the Global Credit Review begins with Risk Appetite Frameworks: Insights into Evolving Global Practices by the International Association of Credit Portfolio Managers (IACPM) and Price Waterhouse Coopers (PwC). They provide a study on industry practices and challenges of developing RAFs. In the second article, The Liquidity Regimes and the Prepayment Option of a Corporate Loan in the Finite Horizon Case, Timothee Papin and Gabriel Turinici propose a model incorporating liquidity regime-switching and the default risk of the obligor. This is followed by an article on Structural Market-Based Top-Down Stress Tests of the Banking System by Jorge Chan Lau from IMF to solve the difficulties in the absence of access to granular information of financial institutions while implementing stress testing. We continue with an article by Chih-Wei Lee and Cheng-Kun Kuo Examining the Validity of Credit Ratings Assigned to Credit Derivatives. Next are two reviews on George von Furstenberg’s book, “Contingent Convertibles [CoCos], a potent instrument for financial reform.” Jeffrey R. Bohn dissects the book from an industry perspective, while Jussi Keppo and Xuchuan Yuan give insights from an academic research angle. This is followed by an article on Eurozone Debt Crisis and Regulation of Credit Rating Agencies by Deena Zaidi. In the seventh article, Kuo-Wei Hsiao and Zhengyi Jiang review the literature on The Pre- and Post- Crisis Stress Testing in the Banking Sector. We conclude this fifth volume of the GCR with an updated NUS-RMI Credit Research Initiative Technical Report which offers technical details on the implementation of the current RMI-CRI corporate default prediction model and its performance. This report also includes a new credit risk measure, i.e., Actuarial Spread, implemented on the CRI system, and the new treatment for merges and acquisitions.

Table of Contents

Global Credit Review, Message from the Editor
Risk Appetite Frameworks - By Michael Alix, Shyam Venkat, Zubin Mogul, Som-lok Leung, Marcia A. Banks and Juliane Saary-Littman
The Liquidity Regimes and the Prepayment Option of a Corporate Loan - By Timothee Papin and Gabriel Turinici
Structural Market-Based Top-Down Stress Tests of the Banking System - By Jorge A. Chan-Lau
Examining the Validity of Credit Ratings Assigned to Credit Derivatives - By Chih-Wei Lee and Cheng-Kun Kuo
Review of George M von Furstenberg's Contingent Convertibles - Industry Perspective - By Jeffrey R. Bohn
Review of George M. von Furstenberg's Contingent Convertibles - Academic Perspective - By Jussi Keppo and Yuan Xuchuan
The Pre- and Post-Crisis Stress Testing in the Banking Sector - A Literature Review - By Kuo-Wei Hsiao and Zhengyi Jiang
Eurozone Debt Crisis and Regulation of Credit Rating Agencies - By Deena Zaidi
NUS-RMI Credit Research Initiative Technical Report Version: 2015 Update 1 - By RMI-CRI Staff
Editorial Information

Read More
*The 5th Volume of GCR is published by World Scientific and can be accessed here

GCR 2014, Volume 4

This fourth volume of the Global Credit Review begins with An Assessment of Systemic Risk in the Japanese Banking Sector by Prof. Kanno Masayasu, which uses RMI-CRI PDs to measure the systemic risk in the Japanese banking sector. This is followed by the article Evolving Global Capital Regulations and its Impact, Particularly on Asia by Mr. Thomas Cho and Mr. Dexter Tan. In the third article Actuarial Par Spread and Empirical Pricing of CDS by Decomposition Prof. Jin-Chuan Duan proposes a measure similar to CDS spreads that summarizes the information embedded in the term structure of physical probabilities of default (PDs). This is followed by an article by Ms. Jenny Bai, Mr. Heikki Seppala and Prof. Ser-Huang Poon on Fast Approximation of Loan Portfolio Loss: Concentration Risk and Multifactor Adjustments. In the fifth article Rejection and Partial Rejection of Consumer Credit Application, Prof. Steven Plaut provides some new insights in the credit rationing and credit application process. Next is a joint article by IACMP and Oliver Wyman — Perspectives on the Evolving Role of Enterprise-wide stress testing. We conclude this fourth volume of the GCR with an updated NUS-RMI Credit Research Initiative Technical Report which offers technical details on the implementation of the current RMI-CRI corporate default prediction model and its performance.

Table of Contents

Global Credit Review, Message from the Editor
An Assessment of Systemic Risk - By Kanno Masayasu
Evolving Capital Regulations and its Impact, Particularly on Asia - By Thomas Cho and Dexter Tan
Actuarial Par Spread and Empirical Pricing of CDS - By Jin-Chuan Duan
Fast Approximation of Loan Portfolio Loss: Concentration Risk and Multifactor Adjustments - By Jenny Bai, Heikki Seppala and Ser-Huang Poon
Rejection and Partial Rejection of Consumer Credit Application - By Steven Plaut
Perspectives on the Evolving Role of Enterprise-wide stress testing - By IACMP - Oliver Wyman
NUS-RMI Credit Research Initiative Technical Report - Version: 2014 Update 1 - By RMI-CRI staff
Editorial Information

*The 4th Volume of GCR is published by World Scientific and can be accessed here

GCR 2013, Volume 3

This third volume of the Global Credit Review begins with a very topical article ‘Systemic Risk in Europe’ by Professors Eric Jondeau and Michael Rockinger. This is followed by the RMI article ‘Changes in the Ratings Game — An Update on Various Developments’. In the third article, ‘Reserve Requirements as Window Guidance in China’, Ms. Violaine Cousin provides insights into the effect of reserve requirements on bank asset quality in China. This is followed by an article by Dr. Markus Bingmer and Dr. Laura Auria on ‘The Implementation of the Basel II Default Definition by Credit Risk Assessment Systems: An Analysis of Possible Aggregation Procedures’. In the fifth article ‘Can Credit-Scoring Models Effectively Predict Microloans Default? Statistical Evidence from the Tunisian Microfinance Bank’, Ms. Ibtissem Baklouti and Prof. Abdelfettah Bouri present a credit-scoring framework for microfinance institutions. Next is a joint article by IACPM and KPMG — ‘Stepping Up to the Liquidity Challenge: The Changing Role of Credit Portfolio Management’. We conclude this third volume of the GCR with an updated ‘NUS-RMI Credit Research Initiative Technical Report’ which offers technical details on the implementation of the current RMI-CRI corporate default prediction model and its performance.

Table of Contents

Global Credit Review, Message from the Editor
Systemic Risk in Europe - By Eric Jondeau and Michael Rockinger
Changes in the Ratings Game - An Update on Various Developments - By RMI-CRI staff
Reserve Requirements as Window Guidance in China - By Violaine Cousin
The Implementation of the Basel II Default Definition by Credit Risk Assessment Systems: An Analysis of Possible Aggregation Procedures - By Markus Bingmer and Laura Auria
Can Credit-Scoring Models Effectively Predict Microloans Default? Statistical Evidence from the Tunisian Microfinance Bank - By Ibtissem Baklouti and Abdelfettah Bouri
Stepping Up to the Liquidity Challenge: The Changing Role of Credit Portfolio Management - By Som-lok Leung, Marcia Banks and Rob Kiernan
NUS-RMI Credit Research Initiative Technical Report - Version: 2013 Update 1 - By RMI-CRI staff
Editorial Information

*The 3rd Volume of GCR is published by World Scientific and can be accessed here

GCR 2012, Volume 2

The second volume of the Global Credit Review (GCR) begins with an opinion piece on ‘Credit Markets: Retrospect and Prospect’. The second article ‘An Improved Regulatory Framework for Credit Rating Agencies?’, provides a critical analysis of the most important attempts at CRA regulation that have recently been undertaken by authorities worldwide. This is followed by an article on ‘Stress Testing’. A fourth article, ‘Mega-Banks’ Self-Insurance with Cocos: A Work in Progress’, provides a framework for a more meaningful use of cocobonds. The volume continues with an article on ‘What are the Driving Factors behind the Rise of Spreads and CDS of Eurozone Sovereign Bonds?’. Next there is a review article on ‘Measuring Distance-to-Default for Financial and Non-Financial Firms’. This is followed by an updated ‘Technical Report for the RMI-CRI’, which offers technical details on implementation and performance of the current RMI-CRI corporate default prediction model. We conclude this second volume of the GCR with ‘A Lead-Lag Investigation of RMI-CRI PD and CRA Ratings’.

Table of Contents

Global Credit Review, Message from Editor
Credit Markets: Retrospect and Prospect - By David Rowe
An Improved Regulatory Framework for Credit Rating Agencies? - By James Weston
Stress Testing - By Noel D'Cruz and Davide Crippa
Mega-Banks Self-Insurance with Cocos: A Work in Progress - By George von Furstenberg
What are the Driving Factors behind the Rise of Spreads and CDS of Euro-Sovereign Bonds? - By Emmanuel Mamatzakis and Panos Remoundos
Measuring Distance-to-Default for Financial and Non-Financial Firms - By Jin-Chuan Duan and Tao Wang
NUS-RMI Credit Research Initiative Technical Report - By RMI-CRI staff
A Lead-Lag Investigation of RMI-CRI PD and CRA Rating - By RMI-CRI staff
Editorial Information

*The 2nd Volume of GCR is published by World Scientific and can be accessed here

GCR 2011, Volume 1

The first volume of the Global Credit Review starts with an overview of the past, present and future challenges facing the credit rating industry. In a second article we highlight the most important attempts at CRA regulation that have recently been undertaken by authorities worldwide. We then proceed with an article on how to identify, measure, and manage the risk of credit rating downgrades. The volume further provides a review article on statistical credit rating methodologies since the 1960s. Lastly, we will elaborate on the RMI Credit Research Initiative with detailed technical information on implementation and performance.
Table of Contents

Global Credit Review, Message from Editor
The Past, Present, and a Possible Future Direction for the Credit Rating Industry By Dipinder S. Randhawa
A New Regulatory Framework for Credit Rating Agencies By RMI-CRI staff
Managing the Risk of Credit Rating Downgrades: Lessons for Investors from Recent Crises By Amadou N.R. Sy
Statistical Credit Rating Methods By Jin-Chuan Duan and Keshab Shrestha
NUS-RMI Credit Research Initiative Technical Report Appendix Annex RMI-CRI staff
Editorial Information

The Institute of Global Securities Market at Tsinghua University (“IGSM”) in collaboration with The Credit Research Initiative at the National University of Singapore issues Quarterly Credit Report on China’s A-share listed companies. The results will be presented in the form of regularly published quarterly research reports, with the research report content including: an overview of credit for Chinese A-share listed companies, credit assessments, historical reviews and future prospects, as well as case analyses, etc.

2024-03-29 - Quarterly Credit Report on China A-Share listed Companies Q4 2023 (in Chinese).
2024-03-11 - Quarterly Credit Report on China A-Share listed Companies Q3 2023 (in Chinese).
2023-11-22 - Quarterly Credit Report on China A-Share listed Companies Q2 2023 (in Chinese).
2023-06-09 - Quarterly Credit Report on China A-Share listed Companies Q1 2023 (in Chinese).
2023-04-03 - Quarterly Credit Report on China A-Share listed Companies Q4 2022 (in Chinese).
2022-12-09 - Quarterly Credit Report on China A-Share listed Companies Q3 2022 (in Chinese).
2022-09-05 - Quarterly Credit Report on China A-Share listed Companies Q2 2022 (in Chinese).
2022-07-25 - Quarterly Credit Report on China A-Share listed Companies Q1 2022 (in Chinese).
2022-02-23 - Quarterly Credit Report on China A-Share listed Companies Q4 2021 (in Chinese).
2021-12-30 - Quarterly Credit Report on China A-Share listed Companies Q3 2021 (in Chinese).
2021-11-02 - Quarterly Credit Report on China A-Share listed Companies Q2 2021 (in Chinese).

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