AIG Credit Risk Committee Meeting Minutes

Those From AIG Present Included: William N Dooley, Robert Lee Finch, Michel Lagoutte, R. Gender, Kevin McGinn, Win Neuger, and John Wibel Additionally, guests present during this meeting included: Eduardo Diaz-Perez, Andrew Forster, Gary Gorton, Aristotle Halikias, Paul Narayanan, Mark Vassilakis, Daniel Wing, and John Zung

AIG Credit Risk Committee Approval Form

Accompanying the completed Credit Risk Approval Form is an executive summary from the Credit Risk Committee to the Chief Credit Office, Kevin McGinn, describing the potential CDO transaction

Rating agencies and sovereign credit risk assessment

Credit rating agencies (CRAs) have not consistently met the expectations placed on them by investors and policymakers. It is difficult, however, to improve the quality of ratings through regulatory initiatives. In the short term, changes to the CRAsâ?? regulatory environment, in a context of high market uncertainty, may add to market stress. The role of credit ratings in regulation should be reduced but eliminating it entirely would have significant downsides, at least in the short term. The transfer of ratings responsibility to public authorities, including the European Central Bank, is unlikely to be a good alternative because of inherent conflicts of interest. The notion of risk-free sovereign bonds is challenged by the crisis, but the most straightforward way to address this challenge in the euro-area context would be the establishment of a euro-area-wide sovereign bond instrument. This Policy Contribution was prepared as a briefing paper for the European Parliament's Economic and Monetary Affairs Committeeâ??s Monetary Dialogue

CREDIT RISK MIGRATION EXPERIENCED BY AGRICULTURAL LENDERS

Loan records and lender credit risk classifications are used to examine agricultural credit risk migration. The results include estimates of the likelihood of borrowers transitioning among five credit risk tiers. The paper also examines factors that influence or predict credit risk migration and its impact on loan pricing.credit risk, agricultural lending, credit risk migration, credit quality, Agricultural Finance,

Determinants of credit risk in commercial banks of Kosovo

Purpose: The purpose of this paper is to analyze some of the determinants of credit risk in commercial banks in Kosovo through the use of regression analysis for a dataset covering a time series of 7 years (2012 - 2018). Design/Methodology/Approach: The data have been collected from publications of Central Bank of Kosovo and from Kosovo Agency of Statistics The data have been analyzed on quarterly basis. In order to conduct the empirical part of the study that gives us the answer to the relationship between credit risk and the determinants of this risk, we analyzed 6 variables in the study. To perform the necessary analysis we have used the statistical software SPSS 23. Through the regression analysis, the main findings and results of the study were generated. Findings: After analyzing the necessary data, the paper concludes that, among credit risk determinants, interest rates on loans and profitability of banks (ROA) have the largest and most significant impact on credit risk, namely non-performing loans as the credit risk measure. Practical implications: For researchers and academics, the study provides a useful basis on which further studies on credit risk and the factors that cause this risk can be conducted. Originality/Value: The research paper is based on recent studies that assess credit risk in other countries and use reliable data on the banking sector in Kosovo.peer-reviewe

Credit Risk Diversification

We study the role of diversification in reducing the volatility of corporate bond returns induced by changes in credit spreads. Specifically, we look at how credit risk can be diminished when a portfolio is diversified across countries, industry sectors, maturities, seniority types and credit ratings. The role of national industrial structures on international diversification is also investigated. Our results show that geographical diversification is more effective in reducing portfolio risk than any alternative investment strategy we consider, and that industry effects are not material to this result. Finally, we explore the implications of our findings for credit risk capital regulation in banks.Credit Risk Diversification, Globally and locally systematic risk, bond ratings

The determinants of credit default swap spreads in the presence of structural breaks and counterparty risk

By investigating the determinants of CDS spreads on European contracts before and after the recent crisis we observe significant differences in the explanatory power of market and firm-specific variables. Before the crisis, the underlying credit risk in the overall CDS market is sufficient to explain credit risk. During the crisis investors have a differing view on the risk of financial and non-financial contracts; whereas non-financial CDS contracts reflect the credit risk of the counterparty, financial contracts do not. Our results suggest that in case of default of financial firms, investors expect the government to intervene to alleviate credit risk of the counterparty and fears of systemic risk

Board composition, monitoring and credit risk: evidence from the UK banking industry

This paper examines the effects of board composition and monitoring on the credit risk in the UK banking sector. The study finds CEO duality, pay and board independence to have a positive and significant effect on credit risk of the UK banks. However, board size and women on board have a negative and significant influence on credit risk. Further analysis using sub-samples divided into pre-financial crisis, during the financial crisis and post crisis reinforce the robustness of our findings. Overall, the paper sheds light on the effectiveness of the within-firm monitoring arrangement, particularly, the effects of CEO power and board independence on credit risk decisions thereby contributing to the agency theory