Credit risk
US Bancorp trimmed toxic assets in Q4
Non-performing asset rate falls to 0.28%
On eve of Brexit, PPF’s chief risk officer isn’t too worried
Stephen Wilcox talks about getting pensions paid without the benefit of controlling ‘UK Plc’
At Goldman Sachs, loan-loss provisions top $1bn
Loans up 11% in 2019, but provisions for credit losses surge 59%
Credit data: the retail apocalypse continues
Consumers are spending, but brick and mortar retailers continue to struggle
Small, speculative clearing members – are they worth the risk?
CCPs need new tools to scrutinise their members, for everyone’s good health
One bad apple: default risk at CCPs
One clearing member's disproportionately large position increases the credit risk for all CCP members
Risk weight tweak could fix IFRS 9 capital clash – research
Practitioner suggests way to cancel out double-counting of Basel credit loss provisions
Four UK banks improve resilience to stress tests compared with 2018
Aggregate CET1 capital ratio headroom over hurdle rate improves by 50 basis points
Leveraged loan risks concentrated in handful of banks – FSB
US lenders make up 55% of exposures among global banks
At UK stress test banks, loan-loss estimates up £8bn in 2019
Impairments estimated to cut 5.7% off of the banks’ aggregate CET1 capital ratio
CLO stress test shows losses for US insurers could top $6.9bn
Under one stress scenario, BBB tranches could suffer losses
Costs of capital under credit risk
In cost-of-capital computations, credit risk is only taken into consideration at the level of the debt beta approach. We show that applications of the debt beta approach in company valuation suffer from unrealistic assumptions about the market index and…
Basel risk weight functions and forward-looking expected credit losses
The authors establish that the combination of lifetime ECL and the Basel Capital Adequacy Framework, which relies on a one-year horizon, results in capital overestimation. Alongside this finding, and in order to alleviate the problem, they propose two…
Credit valuation adjustment wrong-way risk in a Gaussian copula model
In this paper, we present an analytical expression for CVA with WWR under the assumption of the lognormally distributed trade value.
New CVA regime to hike affected RWAs fivefold at EU banks
Systemically important lenders face 622% increase in CVA RWAs; but effect could be less if existing exemptions are carried over
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%
BMO braces for SA-CCR, revised securitisation charges
Bank expects C$100m equity hit through introduction of IFRS 16
Smaller Japan banks set to adopt CVA accounting
IFRS convergence levels playing field as regional banks start to price in credit risk
EU banks cut toxic loans, but pace of improvement slowing
Cypriot and Greek banks improve NPL ratios the most in nine months to end-June
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
In hunt for profitability, EU banks turn to risky assets
Exposures to high-risk items across EU banking sector hit €97.2 billion
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
Industry-led op risk taxonomy launches
Scheme aims to complement Basel classifications, ease peer comparison