UK financials show steady post-Brexit decline in credit quality
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…
Implied credit charges could triple under one approach being field-tested by regulators
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.
Banks look to counter volatility of loss provisioning through careful calibration of loan buckets
Political war of words over former colony means little; it’s the appetite of mainland banks for local dominance rivals should watch
Default risk for group of UK corporates has risen 11% over the past year
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Sponsored webinar: FIS
Content provided by IBM
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
High-profile critics of op risk capital rules are misguided, say Ariane Chapelle and Evan Sekeris
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
European regulators embrace external data for internal modelling of credit risk capital
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Draft directive offers national regulators power to override controversial exemption
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Dealers adapt capital models for new accounting standard, but shortcut has challenges
Rising default rates could trigger a stampede out of the market
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.
Proposal to harmonise rules on debt stays and holdout creditors touches on sensitive issues
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs