Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
Effects of credit deterioration offset by disposals, portfolio reductions
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
In this paper, we expand the modeling process by constructing a set of client-behavior-based predictors that can be used to construct more precise models, and we investigate the economic justifications empirically to examine their potential usage.
NatWest Markets now makes up 16% of group RWAs
Societe Generale incurred a -36bp hit to its CET1 ratio due to Trim
Australian lender sees percentage of past due and impaired loans hit 1.18%
Italian lender has €20.8 billion of government-backed loans on its books
This paper examines which hybridization strategy is more suitable for credit risk assessment in the dynamic financial world.
Bad loan ratio climbed 10 basis points on average across MUFG, SMFG and Mizuho
Loan-loss provisions for 2020 totalled €5.7 billion
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
Stock of ‘stage two’ loans increased 48%
Aggregate provision for credit losses at Truist, Capital One, PNC and US Bancorp more than doubled in 2020
Covid panic exposed cracks in banks' credit models
Net charge-offs for Q4 2020 hit 9.4%
Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector
The authors present an integrated assessment of energy transition risk that links future energy scenarios to a structural economic model.
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Almost 5% of public guarantee scheme loans are designated ‘stage two’
JP Morgan released $1.9 billion back into income alone
Total allowances for loan losses are 95% larger than at end-2019
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks