Credit risk modelling
Accelerating the evolution of credit decisioning and modelling
Anthony Mancuso, director, global head of risk modelling and decisioning at SAS explains the importance of developing a fully capable credit modelling lifecycle to empower non-specialist personnel, and offers insight into its own solutions to this end,…
Forecasting consumer credit recovery failure: classification approaches
This study proposes an advanced credit evaluation method for nonperforming consumer loans, which may serve as a new investment opportunity in the post-pandemic era.
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Explaining credit ratings through a perpetual-debt structural model
This paper calibrates a perpetual-debt structural model (PDSM) by using Moody’s historical credit ratings.
Morgan Stanley sets aside $73m for credit losses
Bank returns to stash reserves triggered by one facility in Q2
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries
UK banks released £671m of loan-loss provisions in Q1
HSBC, Lloyds and NatWest all released surplus credit reserves
Santander added to its pile of shaky loans in Q1
‘Stage two’ assets made up 7% of its total at end-March
Systemic US banks released $9.4bn of credit reserves in Q1
JP Morgan reversed $4.2 billion of provisions alone
Strange new world of Covid economics upends loan-loss models
Models wrong-footed by government support, slumps in whole sectors and differences within industries
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
EU systemic banks added €9bn to capital through IFRS 9 break
UniCredit was the top beneficiary with an 82 basis points CET1 ratio boost
Securitisations lowered Intesa’s credit RWAs in Q4
Synthetic securitisation shaved €2.2 billion off of credit RWAs alone
EU banks saw distressed loans heap up in Q4
‘Stage two’ assets make up 9.1% of banks’ total
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
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