Credit risk CPD resources for Enterprise Risk Management
The FSA defines credit risk as whenever "a firm exposed to loss if a counterparty fails to perform its contractual obligations including failure to perform them in a timely manner". Sources of credit risk include the bond investments of insurers and pension funds, loans made by banks, cash deposits, commercial property tenant default, the counterparty risk on over-the-counter (OTC) derivative counterparties as well as credit derivatives. It also includes reinsurer default as well as business-related exposures in respect of indemnity commission and prepayments
General credit risk
- Credit risk modelling and liquidity premia assessment SIAS paper, Aug 2009.
Bond credit risk
- Corporate default and recovery rates, 1920-2008 [pdf, 2.3mb]. Moody's twenty-second annual default study, 2009.
- Moody's credit policy research index Access to a wide range of Moody's data.
- Corporate bonds - as good as they look? [ppt]. Presentation by Paul McCrossan at the Our Changing Future meeting on Corporate Bonds (2009), which, inter alia, covered likely default and recovery experience in the current crisis.
Sovereign and supra-national credit risk
- Eurostat statistics May help in assessing sovereign bond default risk.
- List of countries by debt/GDP ratio
- OECD statistics fiving key national statistics:
- European Investment Bank A key supranational issuer.
OTC counterparty and credit derivatives
- Credit derivatives [pdf]. Derivatives Working Party report, 2006.
- Counterparty Risk Management Policy Group
Reinsurance credit risk
- Will my reinsurer be there when I need them most? [pdf]. Presentation at the Life Conference 2009.
Bank loan-related credit risk
- FSA statistics on mortgage lending including default and arrears rates.
- BIS Guidance on cedit risk assessment and valuation for loans [pdf]. Jun 2006.
Other areas of credit risk
These areas are being developed. If you have any interesting papers or sites which you feel should be included here, please let us know.
- Credit risk on cash deposits and other money market instruments
- Tenant default risk
If you have any interesting papers or sites on credit risk which you feel should be included here, please send them to Dawn McIntosh, the Manager for the ERM Practice Executive Committee (dawn.mcintosh@actuaries.org.uk).