Credit risk
Monthly credit data review: UK corporates’ post-Brexit slide
UK financials show steady post-Brexit decline in credit quality
IFRS 9/CECL Special Report 2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Insurers say capital rule threatens long-duration products
Implied credit charges could triple under one approach being field-tested by regulators
When banks venture beyond home turf: consequences for loan performance
In this paper, the authors analyze the credit risk of Japanese regional banks when they lend to areas outside their original operational bases.
Asset price bubbles and the quantification of credit risk capital with sensitivity analysis, empirical implementation and an application to stress testing
This paper presents an analysis of the impact of asset price bubbles on standard credit risk measures.
Stage fright: banks tackle IFRS 9 loan-loss volatility
Banks look to counter volatility of loss provisioning through careful calibration of loan buckets
What the ambitions of China’s banks mean for Hong Kong
Political war of words over former colony means little; it’s the appetite of mainland banks for local dominance rivals should watch
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Finding alpha in uncertain energy markets
Sponsored webinar: FIS
Managing and monitoring a single view of concentration risk
Content provided by IBM
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Memo to bank CEOs: treat op risk with more respect
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
Risk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
EU capital revamp paves way for corporate CVA charge
Draft directive offers national regulators power to override controversial exemption
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Banks look to repurpose credit risk models for IFRS 9
Dealers adapt capital models for new accounting standard, but shortcut has challenges
CLO investors fret as rate hikes loom
Rising default rates could trigger a stampede out of the market
Rating momentum in the macroeconomic stress testing and scenario analysis of credit risk
This paper focuses on the corporate stress testing models for credit risk.
A model combination approach to developing robust models for credit risk stress testing: an application to a stressed economy
This paper uses a model combination approach to develop robust macrofinancial models for credit risk stress testing.
Cramped by cramdowns: national hurdles for EU insolvency plan
Proposal to harmonise rules on debt stays and holdout creditors touches on sensitive issues
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs