Credit risk modelling
Systemic US banks drew down credit reserves in Q4
JP Morgan released $1.9 billion back into income alone
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
The effects of customer segmentation, borrower behaviors and analytical methods on the performance of credit scoring models in the agribusiness sector
The main aim of this study is to analyze the joint effects of customer segmentation, borrower characteristics and modeling techniques on the classification accuracy of a scoring model for agribusinesses.
The economics of debt collection, with attention to the issue of salience of collections at the time credit is granted
This paper considers the role of policies that protect consumers from aggressive debt collection tactics.
Bankcard performance during the Great Recession: a consumer-level analysis
This paper investigates factors associated with high credit card loss rates during the period 2008–11 associated with the Great Recession.
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Weak EU banks may lowball Covid loan losses – ECB
Low-profitability banks provision less than their more flush counterparts
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Regions deploys early-warning tool for credit risk
Risk USA: system alerted US superregional to impending defaults during Covid crisis
Loan-loss provisions take a smaller bite out of EU banks in Q3
Set-asides fell 57% quarter on quarter
Which EU banks hold the most SME exposures?
Danske Bank, Crédit Agricole, Group BPCE lead the field
UK banks took £2bn of loan-loss provisions in Q3
Barclays and HSBC increased reserves the most out of the top lenders
Lloyds lightens 2020 ECL forecast, but projects a gloomier 2021
UK banks expects full-year loan-loss amounts to come hit lower end of £4.5 billion–5.5 billion range
At Santander, Covid relief for €75bn of loans expired through Q3
Sixteen per cent of loans coming out of payment holidays have experienced a fall in creditworthiness
FX headwinds cancel out HSBC’s Q3 RWAs cut
Portfolio reductions reaped $10.8 billion of RWA savings
Finding the corporate credit cycle for IFRS 9
Decomposing corporate default rates helps identify credit cycles
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
Systemic US banks put aside $5bn for credit losses in Q3
Citi put aside $2.3 billion in Q3, the most of the top lenders
Citi’s energy loans continued to sour in Q3
22% of funded exposures rated CCC or lower as of end-September
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
A joint model of failures and credit ratings
The authors propose a novel framework for credit risk modeling, where default or failure information and rating or expert information are jointly incorporated in the model.
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases