Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
This paper proposes new maximum likelihood estimation methods that offer greater flexibility than current methods and can account for finite portfolio sizes, scarce default data and time varying, nonhomogeneous default probabilities.
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Trading risk gauge rose as high as €27 million during Q3
Austrian lenders remain reliant on model supplements as energy squeeze looms
Reversal to standardised approach helps lower capital charges in Q3 despite €514m exit costs
Official anticipates effort to identify climate impact on internal models, concentration risk
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
Uncertainty around interest rates and political stability reflected in model overlays
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently
Changes to required capital for credit risk expected to be main driver behind average reduction
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
Anticipated slowdown will be first major test for new generation of expected credit loss models
Confusion over use of buffers makes bankers wonder if concept will ever be successful