Credit risk
Interpretability of neural networks: a credit card default model example
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
Cross-border loans to shadow banks top $7trn
Overseas lending to non-bank financial institutions expands 17% in Q3
CECL drains $2.9bn from Capital One’s CET1
Core capital ratio to fall 16 basis points following switch to new accounting standard
Credit assets of non-banks top $44trn
Hedge funds increase loan and bond holdings the most of shadow-banking entities
At UBS, asset cull drives down RWAs
Final quarter of 2019 saw risk-weighted assets fall $5.4 billion
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
As business mix shifts, Eurex bulks up its default fund
Clearing house will raise charge to 9% from 7% as stress tests signal need for a fatter fund
US Bancorp trimmed toxic assets in Q4
Non-performing asset rate falls to 0.28%
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
At Goldman Sachs, loan-loss provisions top $1bn
Loans up 11% in 2019, but provisions for credit losses surge 59%
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
Leveraged loan risks concentrated in handful of banks – FSB
US lenders make up 55% of exposures among global banks
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
New CVA regime to hike affected RWAs fivefold at EU banks
Systemically important lenders face 622% increase in CVA RWAs; but effect could be less if existing exemptions are carried over
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings