Credit loss estimation
Trade tensions lift China G-Sibs’ CVA charges 10% in Q2
Top Chinese banks’ RWAs rebound for first time since Basel III overhaul
Dutch banks see mortgage loans sour in Q4
ABN Amro’s stage 2 mortgage ratio hits highest level since Covid-19 pandemic
BMO sets aside record C$1.5bn for loan losses
Net write-offs reach highest level in over two decades, exceeding early pandemic levels
NYCB’s NPLs surge continues despite efforts to pare loan book
Soured loans up almost sixfold since start of the year
The impact of deterioration in rating-model discriminatory power on expected losses
The authors propose a means to estimate the effects on a portfolio’s expected credit loss created by underwriting model risks.
HSBC’s stage 3 loans jump in H1 by most since pandemic
Deteriorating CRE loans in Hong Kong drive surge
JP Morgan and BofA’s credit loss provisions highest since Covid outbreak
Quarterly set-asides eat into 13% and 11% of banks’ NIIs in Q2
The loss optimization of loan recovery decision times using forecast cashflows
In this paper, a theoretical method is empirically illustrated in finding the best time to forsake a loan such that the overall credit loss is minimized.
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
Loan-loss provision charges nearly triple at Wells Fargo
Loss reserves for credit cards spike to 10.49% of outstanding loans
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Synthetics sweetener teases European banks
As structural woes resolve, regulators remain split on preferential capital treatment for STS deals
Discover, Capital One loans ravaged by Fed stress test
Credit card losses especially pronounced among regional US lenders
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020