Credit loss estimation
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
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