Credit risk modelling
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
IFRS 9/CECL Special Report 2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Risk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Regulatory blitz weakening model risk management, say banks
Smaller banks’ modelling practices under growing scrutiny, but ability to comply is stretched
HSBC shakes up risk analytics team
Internal memo attributes changes to increased demand for analytics
Europe’s banks fret over US stress tests
CCAR could expose weaknesses in capital planning at foreign banks
Multiple NPL models better than single models, research finds
Combinations of models produce better NPL estimates in study of Greek crisis
Two-regime approach saves up to 30% op risk capital
Modelling shift to 'crisis mode' mitigates pro-cyclical calculations
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
IFRS 9 loss rules distracting banks from models and data
Banks neglecting necessary work on data and model governance, warn tech vendors
Banks struggle to crack 'very complex nut' of IFRS 9
Move to expected loss impairment regime brings major challenges, say banks and accountants
Banks struggling with IFRS 9 impairment rules
Firms seek clarity on use of probabilistic scenarios ahead of January 2018 deadline
Oil rout sharpens energy companies' focus on credit risk
As defaults rise, firms step up sophistication of counterparty assessments
Counting processes for retail default modeling
The article discusses the use of counting processes for retail (mortgage) default modeling.
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Selection versus averaging of logistic credit risk models
Volume 16, Issue 5 (2014)
Insurers developing internal model risk calibrations for non-standard credit assets
Underlines growing strategic importance of infrastructure bonds and MBS, finds survey
Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Indonesia’s credit growth outrunning risk management
Credit limit