Credit risk modelling
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
Saudi bank merger lowers RBS’s credit RWAs
Standardised credit RWAs fall 23% quarter-on-quarter
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2
Darker credit forecast forces Deutsche’s PCLs up to €161m
Provisions for credit losses rise from €94m in the year-ago quarter
EU banks’ credit risk estimates continue to fall
Mean average weighted corporate PD down to 2.24% from 2.61% in Q1 2018
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
A statistical technique to enhance application scorecard monitoring
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
ECB model review continues to eat at ABN Amro’s capital
Trim effects add €1.3 billion of RWAs in Q1
Models need longer datasets to handle economic cycles – research
Decades, not years, of credit losses required for accurate risk modelling, argues expert
Credit losses in US, Turkey ding BBVA’s profits
Impairments jump €142 million in the US and €51 million in Turkey year-on-year
RBS warns of higher loan losses in 2019
Impairments expected to remain below 30–40bp of outstanding loans
Loss provisions at Credit Suisse highest in three years
Provisions expand in Swiss, Asia-Pacific and global markets units
Deutsche’s counterparty exposures at odds with capital
Large share of bank’s trades capitalised under internal model method
Credit risk concentrations vary across big EU banks
The median G-Sib had roughly 60% of its credit portfolio exposed to counterparties outside its domicile
Citi raises CECL reserves estimate
A 30% jump in reserves would translate to a roughly 30bp capital hit