Credit risk
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
Capital One’s CRE charge-offs creep back up
Office property segment pummelled hardest, as charge-off rates increase twelvefold in Q4
Isda to finalise drafting updated FX definitions this year
New definitions on disruption events and fallbacks are core focus
BMO sets aside record C$1.5bn for loan losses
Net write-offs reach highest level in over two decades, exceeding early pandemic levels
Intrum auction gives CDS buyers minimal payout
Outcome seen as success for market that needed to adjust auction terms amid ongoing restructuring
Deutsche tops EU lenders in mid-2024 surge for bad CRE loans
German lender worst hit among bloc’s systemic banks as soured exposures rose 153% in 12 months
CDS market awaits uncertain Intrum auction result
Swedish firm’s restructuring deal limits flexibility in settling contracts, risking curbs on payouts
The path to operational resilience begins with reliability and risk management
The challenges Apac financial services firms face enhancing operational resilience and leveraging data and hybrid cloud
Review of 2024: as markets took a breather, firms switched focus
In the absence of major crises and rules deadlines, financial firms revamped strategy, services and practices
Futures exchanges look to ride credit ETF wave
Proponents hope for increased buy-side trading, with three exchanges competing for market share
Thirteen EU banks face loan losses of more than 16% from green switch
Climate stress test predicts overall bank losses of 6%, rising to 11% under adverse scenarios
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Soft information in financial distress prediction: evidence of textual features in annual reports from Chinese listed companies
The authors use textual data in a model to predict financial distress, demonstrating that this can enhance prediction outcome versus traditional financial data alone.
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
IRB reliance peaks at over 90% for some lenders ahead of Basel III shift
As reforms loom, IRB usage spans from marginal to near-total among European banks
Credit portfolio manager of the year: UniCredit
Risk Awards 2025: A focus on economic value-added prompted a rapid expansion of the bank’s synthetic risk transfer activity
Credit derivatives house of the year: JP Morgan
Risk Awards 2025: Continued investment in credit has created a virtuous circle of growth, as cash products support derivatives, and vice versa
Credit traders await resolution on delayed swaps index
Market participants confident CDX Financials fix will overcome regulatory obstacles
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB