Credit risk
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Greece leads EU on cutting toxic loans in Q2
Non-performing loan ratio of Greek banks falls to 39.2% from 44.8% a year ago
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much
How bad is bad? A look at 30 small banks in China
An anxious China has rescued three banks this year. At least 25 more share some of their worst traits
Credit loss provisions at US G-Sibs 14% lower in Q2
PCLs total $4.8 billion at end-June
Computer says no: combating bias in machine learning models
Proposed US law on algo lending targets in-built discrimination, say modelling experts
Libor transition and implementation – Covering all bases
Sponsored Q&A
EU alternative funds hold €17bn of CLOs
Over 50% of AIF exposures concentrated in top 20 funds
On probability of default and its relation to observed default frequency and a common factor
This paper considers a definition of through-the-cycle as independent from an economic state that can result in a time-varying TTC probability of default.
Asset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Over €1trn of EU insurer assets subject to climate risks
Housing exposures make up bulk of those vulnerable to climate change
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
An advanced hybrid classification technique for credit risk evaluation
In this paper, the authors employ a hybrid approach to design a practical and effective CRE model based on a deep belief network (DBN) and the K-means method.
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
‘Regulatory headwinds’ add €13bn to UniCredit’s RWAs
Frontloading of credit risk model guidelines saps CET1 ratio by 40bp
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3