Credit risk modelling
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
Climate risk joins ethics in driving lending decisions
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
European banks face ‘bottleneck’ to complete EBA stress test
New accounting rules and supervisor demands squeeze teams prepping for 2018’s exercise
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
Big Five Canadian banks' loan-loss ratios improve
BMO cuts PCL ratio 10 basis points year-on-year
BMO shrinks loan-loss provisions as US outlook improves
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
Banks grapple with IFRS 9 and CECL loan loss forecasting
Ambiguity in rules sets up potential clash between banks and auditors over “reasonable and supportable” projections
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Singapore’s banks frontload IFRS 9 provisioning hit
UOB, OCBC announce $1.4 billion set-asides in Q4 results to account for oil and gas loan exposures
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
IFRS 9 prompts Asian banks to downgrade loan books
DBS raises provisioning on weaker energy loans fourfold in third quarter, citing rules impact
Banks eye synthetic securitisation to cut IFRS 9 loan-loss spikes
New structures would help mitigate estimated 44% increase in loan-loss provisions from revised accounting framework