Credit risk
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
At some Chinese banks, NPL growth outpaces allowances
Bank of Beijing, Bank of China, China Merchants Bank and Industrial Bank see bad loans climb faster than set-asides
BoComm’s CET1 ratio drops to lowest since 2013
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
An effective credit rating method for corporate entities using machine learning
The authors propose a new method to design credit risk rating models for corporate entities using a meta-algorithm which exploits information embedded in expert-assigned credit ratings to rank customers.
Credit checks, what credit checks? How crypto lending ate itself
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
China Merchants’ real estate NPLs double in H1
Some 3% of property development loans were non-performing, double the end-2021 level
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Managing CCR to reduce the all-in cost of OTC derivatives portfolios
Erik Petri, head of triBalance at OSTTRA, explores how counterparty credit risk (CCR) compounds the costs of trading over-the-counter (OTC) derivatives and the maintenance of derivatives portfolios, examining the nuances of OTC credit risk management,…
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Erste sees provisions rising fourfold in gas embargo scenario
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
HSBC’s China real estate exposures see fourfold rise in defaults
Proportion of “impaired” exposures to mainland investments jumped $1.7 billion in six months
FCMs brace for ‘tough winter’ of energy market disruption
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
Merton’s model with recovery risk
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
A general firm value model under partial information
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
Citi, BNY Mellon escape Collins floor
Both banks return above the threshold after just two quarters
A new approach to detecting change in credit quality
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
Major lender hikes borrowing costs as crypto flounders
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms