Credit risk
CECL muddies stress tests for US banks
Accounting forecasts differ from Fed’s CCAR scenarios; banks seek middle way to avoid upfront capital hit
Credit data: rising tide lifts fund houses – but can it last?
Strong revenue growth masks structural problems in the funds industry
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
CDX on junk bonds jumped 65% in H1 2019
Notionals to which CCPs were counterparty increased +85%
Treasurers turn to AI in bid for sharper forecasting
Wider automation could usher in future of ‘hands-free hedging’, but obstacles lurk in data standards and sharing
Credit impairment charge up 22% at StanChart
Higher provisions taken, even as number of stage three loans drops
Quantifying systemic risk using Bayesian networks
Creditworthiness of individual entities may offer an insight into systemic risk of financial markets
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Clearing members in cash clash with Apac CCPs
Banks and clearing houses wrangle over who should pay for losses on invested collateral
CECL models may leave banks ill-prepared for next downturn
Mortgage backtest study shows some loan-loss models miss the mark
HSBC to reallocate $100bn of RWAs in shake-up
Global banking and markets division to take brunt of cuts
SA-CCR barely dents Commonwealth Bank’s capital ratio
Twelve basis point hit to CET1 capital ratio exceeds 7bp estimate
Model flaws continue to dog ABN Amro
Trim added €10 billion of risk-weighted assets in 2019
EU bank clients pressed for better trade terms in 2019
Hedge funds saw price and non-price conditions tighten in Q4
Credit risk – The bank data challenge in frontier markets
As the regulatory net tightens, banks working in and across frontier regions are under pressure to source and maintain more accurate data in the assessment of counterparty credit risk, but some are investing in tools to tackle the problem
Corporate defaults push Danske Bank’s NPLs up 16%
Single-name exposures caused bulk of Q4 impairments
Credit data: a sharp turning point in CCP credit risk
The credit risk of CCPs is worsening, even as margin requirements rise, writes David Carruthers
Intesa Sanpaolo cut €2.4bn of bad loans in 2019
Non-performing loan ratio falls to 3.6%
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
At US banks, CECL effects differ wildly
Truist bank sees reserves leap +150%; average increase is +50%
Interpretability of neural networks: a credit card default model example
Recently developed techniques aimed at answering interpretability issues in neural networks are tested and applied to a retail banking case
UK firms lead in cross-border loans to shadow banks
Entities based in the UK had 20% of outstanding global loans to non-banks
Cross-border loans to shadow banks top $7trn
Overseas lending to non-bank financial institutions expands 17% in Q3