Credit risk modelling
Current expected credit loss procyclicality: it depends on the model
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
As Covid snaps credit models, lenders turn to stress-testing
Banks enlist scenario analysis to bolster creaking default models
UK bank ECL scenarios may lowball coronavirus impact
BoE offers IFRS 9 relief on virus-hit loans
EU banks eye bad loan relief from state guarantees
ECB move should prevent rickety loans counting as NPLs
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Credit impairment charge up 22% at StanChart
Higher provisions taken, even as number of stage three loans drops
Model flaws continue to dog ABN Amro
Trim added €10 billion of risk-weighted assets in 2019
Intesa Sanpaolo cut €2.4bn of bad loans in 2019
Non-performing loan ratio falls to 3.6%
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
At US banks, CECL effects differ wildly
Truist bank sees reserves leap +150%; average increase is +50%
CECL drains $2.9bn from Capital One’s CET1
Core capital ratio to fall 16 basis points following switch to new accounting standard
Haitong taps NLP to inform collateral coverage
Hong Kong broker scours news and blogs in bid for better corporate signals in China’s opaque markets
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Climate risk-weighting: the devil and the deep blue sea
Should capital charges be calibrated to climate risk? European banks test the waters
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
Loan-loss provisions climb C$40m at Scotiabank
Canadian lender reports provisions 28% higher than in Q3 2018
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
CECL prompts loan sales, hunt for insurance
Risk USA: ‘CECL hogs’ could deplete capital ratios and be a drag on earnings
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017