Credit risk modelling
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
Not so DFAST: slim Mizuho avoids stress
Mizuho Americas has remained lean to head off CCAR, and, post-Crapo, it’s clear of DFAST, too
National supervisors put pressure on global risk models
Varied supervisory and external audit demands stretch cross-border risk management
Finally, a professional group for model-risk managers
As models of all stripes crowd into finance, the people who screen them form an association
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
Credit data: doom loop depends on sovereign strength
Analysis of 59 countries shows bank and sovereign credit are most likely to be correlated in lower-rated countries
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
SunTrust’s ‘swim lanes’ keep exposures in line
Bank has five bands of risk – a granular approach it says makes it easier to control exposures
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
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
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
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
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
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
IFRS 9 eases impairment charges, softening Barclays' profit drop
Total credit impairment charge stood at £571 million, a 46% decline year-on-year
Credit data: Trump tax cuts have not hurt US states
Tax package is double-edged sword for US states, but credit has strengthened over past year
UBS far exceeds 2018 credit and counterparty risk estimate
Sfr2.4 billion growth attributed to model changes alone
Credit data: default risk still growing for Italy’s banks
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts