Credit risk capital
Regional banks prepare CECL proposal for FASB
Bank executive says FASB open to weighing concrete proposal, and banks scramble to make one
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
Tranche warfare: uphill struggle for euro safe bonds
Junior tranche and regulatory impasse are key challenges for pan-eurozone sovereign bond-backed securities
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Basel gives local supervisors latitude to set ECL relief
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again