Credit risk
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.
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
An empirical study on credit risk management: the case of nonbanking financial companies
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios
BMO’s loan loss reserves climb
Canadian bank reserves increase C$26 million quarter to quarter
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
Scotiabank acquisitions come with risks attached
The bank’s RWAs jumped 9.4% in the third quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
A new model for bank loan loss given default by leveraging time to recovery
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
RBC builds loan-loss buffer
Provisions for credit losses rise to C$346 million from C$274 million the prior quarter
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Risks building at three US G-Sibs
Risk-weighted asset density has increased at BNY Mellon, State Street and Goldman Sachs the most, across the eight US global systemically important banks
Default contagion among credit modalities: evidence from Brazilian data
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit…
Risktech start-ups struggle to clinch big-bank contracts
Light on cash, risk management fintechs face an extended gauntlet most won’t survive
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Capital add-ons rising for UK banks
Median Pillar 2A requirement across six biggest lenders hits 2.3%
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm