Credit risk
EBA mulls rule changes to speed up model approval process
Risk Live: Reducing compliance burden of credit risk model updates can aid banks and supervisors
Canada Big Five set aside C$1.7bn amid tariff uncertainty
Surge in performing loan provisions pushes allowances past pandemic peak
Podcast: Fabrizio Anfuso on computing for Archegos-like event exposures
BoE quant discusses top-down counterparty risk framework using Gaussian distributions and copulae
Did fintech loans default more during the Covid-19 pandemic? Were fintech firms “cream-skimming” the best borrowers?
The authors propose a model which can be used to identify the "invisible prime" consumers from the nonprime pool for fintech loans.
Basel III prompts Scandi banks to redraw credit risk
Danske, Handelsbanken and Nykredit scale back A-IRB under new rules
Morgan Stanley’s RWAs top $500bn after biggest jump since 2020
Derivatives and SFTs propel bank’s RWAs to record high
Basel III overhaul adds €85bn to EU banks’ op RWAs
BNP Paribas, Soc Gen and SEB see largest rises in absolute terms
CRE non-accruals still rising at Western Alliance and Valley National
Troubled CRE loans rise further in Q1 despite rate cuts and loan modifications
Wait in the Q: US banks hold back on tariff-related provisions
Lack of data on supply chain vulnerabilities creates challenges for early CECL adjustments
CLO market shakes off ETF outflows
Despite record redemptions, exchange mechanics and relatively small volumes cushioned impact