Credit risk
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
Credit portfolio manager of the year: NatWest Bank
Risk Awards 2020: Big deals and big ideas have helped transform stress-test laggard to leader
Loan-loss provisions climb C$40m at Scotiabank
Canadian lender reports provisions 28% higher than in Q3 2018
Competitive differentiation – Reaping the benefits of XVA centralisation
A forum of industry leaders discusses the latest developments in XVA and the strategic, operational and technological challenges of derivatives valuation in today’s environment, including the key considerations for banks looking to move to a standardised…
Low investment grade debt a staple of EU insurer portfolios
Debt holdings just one notch above junk status make up €642.8 billion of standard formula insurer assets
Fed underscores run risk of corporate bond funds
Total AUM of junk bond and bank loan funds was around $350 billion in Q2 2019
Climate change spells death of certainty
Global warming threatens to upend everything risk models take for granted
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Morgan Stanley, Wells not sold on AI for credit scoring
Risk USA: Lenders warn on AI model risks and use of non-traditional data
PRA drops ‘timely’ payouts in credit risk insurance
Plan for expeditious timeframe set aside to delight of banks worried about retaining capital breaks
CECL prompts loan sales, hunt for insurance
Risk USA: ‘CECL hogs’ could deplete capital ratios and be a drag on earnings
Chafing under capital rules, JP Morgan sells home loans
Standardised risk weights for residential mortgages far exceed modelled equivalents
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Impairment charge up 58% at BBVA
Write-offs and higher provisions take big bite out of bank’s income
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Credit model update holds down loss provisions at Deutsche
German lender saved €167 million through model refinements
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall