Credit risk modelling
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
CCAR disclosure sheds new light on modelling default losses
Regulator reveals loss rates for loans and credit cards, but banks say disclosures don’t go far enough
FASB bins regional bank CECL proposal
Plan would have allowed smaller lenders to reduce capital impact of expected losses
Overseas push amps Scotiabank credit risk
Loan-loss provisions for the international unit made up 69% of the bank's total in 2018
Junk loan, souring economy push up RBC loan-loss reserves
Provisions for credit losses hit C$514 million in Q1 2019
UK banks' ECL scenarios vary
Projected economic outcomes most widely dispersed at Barclays
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
Default risks in peripheral eurozone inch up
Italian corporate PD estimates up to 9.12%
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Model risk chiefs warn on machine learning bias
ML model outputs open to “potential bias sitting in your datasets”, says RBS model risk head
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Counterparty trading limits revisited: from PFE to PFL
The potential future loss is proposed as a replacement for PFE