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
Confusion over use of buffers makes bankers wonder if concept will ever be successful
Bank of Beijing, Bank of China, China Merchants Bank and Industrial Bank see bad loans climb faster than set-asides
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
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.
Collapse of hedge fund Three Arrows Capital exposes “sloppy and irresponsible” credit standards among crypto lenders
Some 3% of property development loans were non-performing, double the end-2021 level
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
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,…
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
Vienna-based bank wargamed for an unlikely but devastating halt to Russian gas shipments
Proportion of “impaired” exposures to mainland investments jumped $1.7 billion in six months
Banks stress-test clients, add big margin multipliers to insulate against risk of 100% price moves
By adding a correlated risk driver to Merton's model for corporate bond pricing, the authors model the empirically observed recovery risk premium.
The authors propose a general structural default model combining enhanced economic relevance and affordable computational complexity.
Both banks return above the threshold after just two quarters
The author presents a new, computationally simple framework for quantifying and detecting changes in established companies' corporate credit quality.
Brokers warn crypto market faces a reckoning with wrong-way risk as lenders rush to tighten terms