Credit risk
Basel III overhaul adds €85bn to EU banks’ op RWAs
BNP Paribas, Soc Gen and SEB see largest rises in absolute terms
CRE non-accruals still rising at Western Alliance and Valley National
Troubled CRE loans rise further in Q1 despite rate cuts and loan modifications
Wait in the Q: US banks hold back on tariff-related provisions
Lack of data on supply chain vulnerabilities creates challenges for early CECL adjustments
CLO market shakes off ETF outflows
Despite record redemptions, exchange mechanics and relatively small volumes cushioned impact
US Basel equivalence questioned as EU patience wears thin
MEPs say unfaithful US implementation of Basel III could trigger review of third-country capital treatment
The WWR in the tail: a Monte Carlo framework for CCR stress testing
A methodology to compute stressed exposures based on a Gaussian copula and mixture distributions is introduced
Markets are mispricing tariff uncertainty, say academics
Johns Hopkins economists warn of risk from changes to the ‘rules of the game’
BNP Paribas tops European ship finance table with €20bn book
US tariffs cast shadow over banks’ shipping exposures
JPM boosts credit loss provisions to highest levels since 2020
Allowances up to $28bn driven by worsening economic outlook
Survival analysis in credit risk management: a review study
This paper offers a systematic literature review of survival analysis in credit risk assessment and suggests potential future avenues for research.
Amid tariff turmoil, banks warned not to fudge IFRS 9 overlays
Flip-flopping US policies challenge loan loss provisioning models; EU regulators take watching brief
Uncertainty in the macroeconomic environment, corporate tax avoidance and corporate credit financing: evidence from high-tech listed companies in China
Using data from Chinese high-tech enterprises, the authors investigate links between corporate tax avoidance and bank credit financing.
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Rabobank jacks up climate risk overlays to loan provisions
Allowances top-up for chronic extreme weather increases more than sixfold
Credit markets brace for Trump tariffs fallout
Traders have largely shrugged off the threat of global trade wars, but worries remain about economic weakness
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
Credit loss database reveals holes in Basel’s IRB formula
Researcher has used two decades of data to propose improved internal model methodology
SRT markets kick US banks’ caution to the kerb
Market for capital relief trades continues apace despite US banks’ reluctance to offer leverage
Impaired loans surge at Canadian banks
RBC leads increase with soured C$1.5bn utility loan
Shaking things up: geopolitics and the euro credit risk measure
Gravitational model offers novel way of assessing national and regional risks in new world order
Basel uniformity fades as members defy dress code
Rule-makers diverge from Basel III standards, denting aims of comparability and fuelling fears over fair competition
Looming US Basel endgame redraft sparks calls to save IRB
Experts say 20 years of data makes credit risk models more appropriate than standardised approach
Dutch banks see mortgage loans sour in Q4
ABN Amro’s stage 2 mortgage ratio hits highest level since Covid-19 pandemic
SEB’s RWAs hit record high on upcoming requirements
Add-on of Skr9 billion helps drive CET1 ratio to lowest since pandemic