Credit risk capital
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Banks push for capital changes as CECL provisions soar
Spike in set-asides exposes fault lines between new accounting standards and Basel rules
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
CVA, market RWAs more than double at UBS in Q1
Overall risk-weighted assets increased 10% on end-2019
CECL working as intended amid Covid-19 crisis, says FASB
Suspending new standard would be a decision for regulators, not accountants, say observers
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Static and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
Fresh scrutiny for Europe’s SME capital carve-out
FSB’s Knot urges conformity with global standards
Basel Committee frets over poor member discipline
Tsuiki warns on fragmentation risk as countries delay NSFR, FRTB implementation
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Sovereign risk weights cannot wait
Why reform of Basel rules is urgent – and how to improve on December 2017 proposals
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Large banks thrash regionals’ proposal on CECL
Plan would require more work and produce no capital benefit, executives tell FASB
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Fed could soften CECL impact on stress tests, banks say
Risk USA: Firms may be allowed to spread impact of projected losses across CCAR cycle