Credit loss estimation
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
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.
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
Bank of America takes $84 million hit from toxic energy loan
Commercial loan charge-offs soar to $156 million because of troubled utility client
Consumer loan surge quintuples Goldman’s loan-loss reserves
Retail loan portfolio doubles year-on-year to $5 billion
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales