Credit risk modelling
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
US CRE provisions surge at Deutsche after model recalibration
Stage 2 loans drive provision hike after LGD assumptions updated
Citi’s modelled RWAs outpace standardised by record $152bn
Widening RWA output gap puts Collins floor back in spotlight
Banks seek EU supervisory green light on external credit data
GCD-developed industry standard to show pooled loss data is representative of banks’ portfolios
JPM’s reserves on undrawn loans rise 32% as Trump tariffs loom
Allowance on commitments nears $3bn as bank braces for stress among corporate borrowers
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
Bank of England urged to rethink HHI concentration risk add-on
Experts think overhaul of credit risk measure should be part of PRA’s ongoing Pillar 2 review
Model risk quantification for machine learning models in credit risk
This paper analyses bank-specific model risk measurement methods with a focus on implemented model risk rating solutions for MLMs and discusses challenges faced by the validation function.
Enhancing default prediction in alternative lending: leveraging credit bureau data and machine learning
The authors apply machine learning techniques to credit bureau data and loan-specific variables to improve default prediction in the alternative lending sector.
Norinchukin trims slotting approach reliance, expands A-IRB scope
Bank’s models recover ground after Basel III curtailing
Basel III prompts Scandi banks to redraw credit risk
Danske, Handelsbanken and Nykredit scale back A-IRB under new rules
Wait in the Q: US banks hold back on tariff-related provisions
Lack of data on supply chain vulnerabilities creates challenges for early CECL adjustments
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Rabobank jacks up climate risk overlays to loan provisions
Allowances top-up for chronic extreme weather increases more than sixfold
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
How a serverless risk engine transformed a digital bank
Migrating to the cloud permitted scalability, faster model updates and a better team structure
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Consolidation of Arval exposures adds €20bn to BNP Paribas’ RWAs
Bank shifts exposures from soon-to-be retired equity IRB treatment to standardised approach