There is no concord on how banks should police their model risk. But two Fed economists have an idea
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
Default risk climbing for heavily indebted companies as US rate hikes continue, says David Carruthers
Italian bank swallows 39bp capital hit in third quarter; 9bp through BTP moves
Group-wide provisions pushed higher by the bank's US unit, which saw loan-loss reserves leap 44% to €649m over the quarter
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
The ratio of NPLs to total exposures dropped to 4.5% at end-September
Gross impaired assets fall A$400 million year to year
Two-thirds of reduction achieved through RWA efficiencies
Four big lenders claim £3 billion CRR-mandated relief
The bank’s NPL ratio fell to 4.1% at end-September
Bank executive says FASB open to weighing concrete proposal, and banks scramble to make one
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.
Ratio of toxic assets to total loans fall 19% quarter-to-quarter
Non-investment grade exposures make up 31% of total corporate exposures
The Basel III output floor will impose the single largest Tier 1 capital requirement on 46% of G-Sibs
Basel III output floor will add 5.4% to minimum required capital
This paper proposes a general framework for constructing bank risk data sets, which provides an integrated process from data sources to comprehensive risk data sets.
New smoothing technique claims to overcome flaws in risk rating scales
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
Lower risk levels drive quarter to quarter fall
G-Sibs cut $31 billion of market RWAs in three months to June