Credit risk
Banks question CECL procyclicality research
Banks dispute Fed paper showing accounting switch will lessen loan reserve procyclicality
European banks face ‘bottleneck’ to complete EBA stress test
New accounting rules and supervisor demands squeeze teams prepping for 2018’s exercise
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
US bank RWA density edges higher
Morgan Stanley density increases from 41.46% to 45.47% year-on-year
Over one-quarter of EU bank credit exposures overseas
Spanish banks exhibit highest level of overseas risk, Nordic banks the lowest
Credit data: ‘dirty diesel’ woes weigh on autoparts firms
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark
Big Five Canadian banks' loan-loss ratios improve
BMO cuts PCL ratio 10 basis points year-on-year
BMO shrinks loan-loss provisions as US outlook improves
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
Scotiabank reports volatile loan-loss provisions
A C$31 million jump in provisions largely attributed to a single deteriorating loan
Higher profits bolster EU bank capital ratios
Discrepancies persist between countries worst and least hit by eurozone crisis
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
New capital floor saves CIBC C$244 million
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
Retail banking performance improves Groupe BPCE cost of risk
Retail banking network cost of risk falls 22bp to 15bp
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
Credit default prediction using a support vector machine and a probabilistic neural network
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
ANZ credit recoveries boost earnings
Loss rate drops 10 basis points year-on-year
Lord Abbett turns to Deutsche for CDSs
German lender increases share of fund's CDS portfolio
BBVA gets capital relief through synthetic securitisation
Second deal with European Investment Bank frees up balance sheet for lending