This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
Standardised RWAs dropped 5% in Q4, boosting the bank’s core ratio by 55bp
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Dealers and clients struggle to agree optionality value of posting bonds in cash-and-bond CSAs after Eonia conversion
Counterparty Radar: Managers react to fastest rise in inflation in three decades
Counterparty Radar: Total positions reach new high driven by growth of swaps referencing CDX NA IG
Counterparty Radar: Sold protection, corporate names fuel growth in US funds’ single-name books
Counterparty Radar: Uncertainty over inflation appears to have dampened trading activity
Despite latest uptick, gross value of derivatives contracts held by UK banks is 67% below 2008 peak
Counterparty Radar: Non-G10 pairs regain momentum despite dip in total positions in Q3
Customer churn prediction for commercial banks using customer-value-weighted machine learning models
In this paper the authors propose a framework to address the issue of customer churn prediction, and they quantify customer values with the use of an improved customer value model.
Across all systemic banks, only eight dealers disclose their GHG emissions for this field
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
Co-ordination among Chinese regulators has improved, but new data law shows continued tensions
BNY Mellon, Citi and Wells Fargo saw their headroom shrink from a year ago
Less talk and more action needed around climate disclosures linked to carbon emissions
RWA density edged higher at two dealers in the third quarter
Agency problems in multinational banks: does parent complexity affect the risk-taking of subsidiaries?
This paper empirically reviews the relationship between the geographical complexity of parent-groups and the risk-taking behavior of subsidiaries using a panel of data for Polish domestically owned and foreign-owned banks covering the years 2008–17.
Different inputs and calculator formulae pose dual test to US banks
On aggregate, requirements connected to commodity positions fell the most, down 28% from end-June
Largest loss-to-VAR ratio at the firm was highest among 10 US intermediate holding companies
Business heads increasingly confident that trading will reside in their patch
Latest quarterly increase, alongside that of Bank of America and State Street, bucks the trend across top US banks
European, Canadian and UK banks are too big to fail because of their cross-border activities, Chinese and Japanese banks because of their size