Credit risk
The challenges of standardised credit risk assessments for banks under Basel III
A white paper addressing the challenges of standardised credit risk assessments (SCRA) for bank exposures under Basel III, including changes to risk-weighted assets and SCRA implementation
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
The challenges of standardised credit risk assessments for banks under Basel III
In this white paper, S&P Global Market Intelligence addresses the challenges of the standardised credit risk assessment (SCRA) approach for bank exposures under Basel III, including changes to risk-weighted assets and SCRA implementation.
US banks’ performance in latest DFAST worst in six years
Fed blames higher credit card delinquencies, riskier corporate lending and lower revenue
How a ‘sushi circle’ approach can improve credit risk management
AI can help banks shift from manual corporate loan reviews to continuous, digitised risk monitoring, as four practitioners explain
Counterparty risk model links defaults to portfolio values
Fed’s Michael Pykhtin proposes using copula models to capture effects of margin calls on default risk
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
Enhancing counterparty credit risk management in modern banking
A webinar addressing banks' strategies for optimising credit risk mitigation strategies and utilising risk-sensitive margining to manage counterparty exposures effectively
Banks look to offload ‘orphan’ hedge risk
Bespoke CDSs shift private credit borrowers’ derivatives default exposures back to the buy side
Capital rules explain leverage craving in US bank risk transfers
Tougher requirements have led to conservative structuring and lower coupons
Weighting for leverage
A credit exposure model for leveraged collateralised counterparties is presented
Credit risk management solutions 2024: market update and vendor landscape
A Chartis report outlining the view of the market and vendor landscape for credit risk management solutions in the trading and banking books
New CDS index delayed by regulatory capital concerns
Dealer worries about impact of self-referencing trades derail CDX Financials launch at last minute
China CDS users slow to embrace new credit event panel
Decisions from Nafmii determinations committee yet to be switched on in agreements
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
New real estate model adds €14bn to Rabobank RWAs
CET1 ratio down 1.2pp as capital stays flat
US large bank CRE risks could be understated, say researchers
Community banks have the most direct exposure, but systemic banks extend more credit to REITs
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
ABN Amro takes €1.7bn RWA add-on from credit models rejig
Just over 40% of credit risk RWAs still calculated under the A-IRB approach, down from 90% two years ago
Key indicators for the credit risk evaluation of clients and their changing characteristics
The authors propose a credit risk evaluation model for energy performance contracting projects with debt- paying ability and long-term capital debt ratio as optimal indicators.
Chicago Fed research points to systemic risk from private credit
Life insurers that have tripled exposures could face a liquidity squeeze, say economists
Fed green lights more capital relief trades
Five US banks authorised to issue repeat credit-linked notes backed by financial guarantees
Tracing credit contagion effects from corporates to the real estate sector
S&P Global Market Intelligence explores possible credit contagion effects from the corporate sector to real estate by using S&P Global Ratings’ research and underlying data to formulate clients’ own views on risks in the sector
Napier Park to increase investment in bank risk transfers
Hedge fund sees secular trend in lenders offloading credit risk, and plans to be part of it