Credit risk
Credit data: UK banks hold firm as Brexit looms
The credit status of UK banks remains unchanged, but other industries have seen significant deterioration
EU-Singapore trade deal awakens sovereign restructuring fears
Many worry that EU government bonds are now in play for international arbitration
Lower credit risk shrinks UK banks’ RWAs
Figures from the Bank of England show total RWAs for the UK banking sector amounted to £2.83 trillion at end-December
Procyclicality and risk-based access: valuing the embedded credit default swap of employing bilateral credit limits in financial market infrastructures
In light of institutional knowledge, this paper presents the similarities between the survivor-pay component (Tranche 2) of the Canadian large-value transfer system (LVTS) and credit default swap (CDS) contracts.
Top UK banks cut CVA capital by £190 million
Barclays and StanChart are only two banks with higher CVA capital requirements in 2018
Goldman Sachs cuts CVA capital 39% in 2018
On aggregate, CVA charge across US G-Sibs fell $2.2 billion to $14 billion year-on-year
PRA's Pillar 2 add-ons reflect mixed verdict on UK banks
Median CET1 Pillar 2A charge for big six banks rises to 2.25%
Credit data: a new PD story for Brazil and Mexico?
One has been sliding, the other stable, but the stage appears to be set for a break from those trends
Quantification of model risk in stress testing and scenario analysis
In this paper, the author's aim is to empirically analyze the numerical quantification of model risk, yielding exact buffers in currency amounts (for a given model uncertainty).
Accounting shake-up set to hit China shadow banking
Banks brace for extra provisions under IFRS 9 for loans masquerading as investment products
US banks boost sales of CDS, reversing two-year trend
BofA Securities increased CDS notionals the most, adding $30.3 billion to its portfolio
Sberbank's switch to IRB approach lifts capital ratio
Despite the RWA increase, the bank's CET1 capital ratio rose 20 basis points, to 11.6%
Overseas push amps Scotiabank credit risk
Loan-loss provisions for the international unit made up 69% of the bank's total in 2018
Junk loan, souring economy push up RBC loan-loss reserves
Provisions for credit losses hit C$514 million in Q1 2019
Luxembourg is latest EU state to hike countercyclical buffer
In total, EU states hiked CCyB rates 13 times last year, up from six in 2017
Active ETFs – The next step in Asia’s ETF innovation
The exchange-traded fund space has long been dominated by passively managed funds, but active ETFs are gaining popularity among investors and issuers. Although active ETFs are not yet a mainstream investment instrument, their growing investor interest is…
Credit data: falling default risk for China’s banks
Economic data may be relatively gloomy, but default probabilities for lenders fell sharply last year
Default risks in peripheral eurozone inch up
Italian corporate PD estimates up to 9.12%
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Even after hefty loss, Nomura capital ratio remains aloft
CET1 ratio jumps to 17.8% despite ¥76 billion loss
Large banks thrash regionals’ proposal on CECL
Plan would require more work and produce no capital benefit, executives tell FASB
UBS warns of $6.5bn jump in credit RWAs in Q1
Credit and counterparty RWAs stood at $147.9 billion at end-2018, up $1.6 billion from the third quarter
Non-payment insurance grows as banks shun stuttering CDS market
Credit portfolio managers explore insurance contracts to offset risk from loan book