Credit risk modelling
At systemic US banks, corporate default risk ebbed in Q4
Median PD of corporate portfolios down to 1.6% from 1.73%
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
NAB’s bad loans ratio climbs as Covid moratoria expire
Australian lender sees percentage of past due and impaired loans hit 1.18%
State guarantees saved UniCredit €8bn in RWAs through 2020
Italian lender has €20.8 billion of government-backed loans on its books
Non-performing loans piled up at Japan megabanks in 2020
Bad loan ratio climbed 10 basis points on average across MUFG, SMFG and Mizuho
Covid hikes BNP Paribas’ cost of risk to decade high
Loan-loss provisions for 2020 totalled €5.7 billion
Regulatory headwinds to amp Deutsche’s RWAs in 2021
Targeted review of internal models to add €4bn of RWAs in 2021
Enhanced scrutiny of Covid loans at CaixaBank leads to €321m charge
Stock of ‘stage two’ loans increased 48%
Mid-sized US banks set aside less for credit losses in Q4
Aggregate provision for credit losses at Truist, Capital One, PNC and US Bancorp more than doubled in 2020
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
Capital One’s oil and gas portfolio shrank 27% in 2020
Net charge-offs for Q4 2020 hit 9.4%
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
Systemic US banks drew down credit reserves in Q4
JP Morgan released $1.9 billion back into income alone
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector
The main aim of this study is to analyze the joint effects of customer segmentation, borrower characteristics and modeling techniques on the classification accuracy of a scoring model for agribusinesses.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Bankcard performance during the Great Recession: a consumer-level analysis
This paper investigates factors associated with high credit card loss rates during the period 2008–11 associated with the Great Recession.
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Weak EU banks may lowball Covid loan losses – ECB
Low-profitability banks provision less than their more flush counterparts
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter