Advanced Internal Ratings-Based Approach (A-IRB)
European credit model outputs vary wildly
Risk densities range widely and out-of-sync with average probabilities of default
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years
Counterparty risk builds at Bank of America, JP Morgan
Higher portion of RWAs attributable to more risky derivatives and repo counterparties
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
New capital floor saves CIBC C$244 million
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
Underperforming performance measures? A review of measures for loss given default models
This paper reviews the ways of measuring the performance of LGD models that have been previously used in the literature and also suggests some new measures.
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Banks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
Basel gives local supervisors latitude to set ECL relief
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration