Credit risk
Climate-policy-relevant sectors and credit risk
This paper explores the relationship between banks exposed to climate-policy-relevant sectors and credit risk, finding that banks exposed to higher carbon emitting sectors are subject to greater credit risk than those exposed to less carbon emitting…
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
US banks’ risk-free exposures keep falling
Assets with 0% risk-weighting lowest proportionally since Q1 2020, replaced by riskier exposures
Reading between the fines: a deep dive into financial institution penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in Apac were just 0.77% of what they were in 2021
UK banks added £1.6bn to loan allowances in 2022
Increase in set-asides driven by stage-two and stage-three credit-loss reserves
‘Hung’ leveraged loans push Barclays’ VAR to 10-year high
Trading risk gauge hit a peak of £73 million in Q4, £2 million shy of 2012 peak
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact
Internet financial risk assessment in China based on a particle swarm optimization–analytic hierarchy process and fuzzy comprehensive evaluation
The authors propose a comprehensive evaluation system to index internet financial risk, based on the identification of China's internet financial risk.
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
Covid-forborne and state-backed loans keep creaking louder
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
Top US lenders book $6.2bn in provisions in Q4
Loan-loss charges at Bank of America, Citi, JP Morgan and Wells Fargo hit highest since pandemic outset
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Impactful short duration: green bonds and yield curve strategies
Against the backdrop of rising rates and increasing interest in impact finance, this white paper compares the short, medium and long duration performance of EUR-denominated credit bonds and looks at how the performance of a green bond strategy (iBoxx…
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
Credit risk: best practices for predicting future risks
In today’s uncertain times, credit risk managers are under increasing pressure to provide robust, forward-looking insights on counterparties. Fitch Solutions explores the key pain points in the process and crucial steps to improving data quality
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Banks and financial powerhouses map out climate risks
A day after the hottest Double Ninth Festival on record in Hong Kong, experts gathered at Asia Risk Live at the Ritz-Carlton to explore how banks can manage climate risk for a net-zero economy