Credit risk
Capital One’s loan charge-offs surge 54% in Q4
Amount of credit cards and consumer loans getting written off approaches pre-pandemic levels
Lifetime achievement award: Stephen Kealhofer
Risk Awards 2023: KMV co-founder helped usher in a new era of credit risk analysis – at banks and investors
BofA’s DVA losses inflated to $193m in Q4
Latest hit is largest since 2020, but still leaves positive result for 2022
IRB risk-weights highest at smallest EU banks – ECB
Lenders with less than €30 billion in assets consistently report lower risk densities than bigger banks across all modelled portfolios
Covid-forborne and state-backed loans keep creaking louder
Share of non-performing ex-moratoria and guaranteed exposures at EU banks balloons amid energy crisis, EBA data shows
Top US lenders book $6.2bn in provisions in Q4
Loan-loss charges at Bank of America, Citi, JP Morgan and Wells Fargo hit highest since pandemic outset
At US banks, risk-free exposures hit lowest in two years
Just under a third of credit assets carried a 0% risk-weight in Q3
Uncleared, unrated CDS notionals boomed in H1 2022
Non-cleared trades up 21% in six months and 14% in twelve, BIS data shows
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
UK banks’ CVA charges ballooned by £8bn in volatile Q3
Bank of England figures show capital requirements at highest since early pandemic readings
Credit risk: best practices for predicting future risks
In today’s uncertain times, credit risk managers are under increasing pressure to provide robust, forward-looking insights on counterparties. Fitch Solutions explores the key pain points in the process and crucial steps to improving data quality
Looking beyond SA-CCR
An alternative calculation of exposure at default that handles complex portfolios is presented
Banks and financial powerhouses map out climate risks
A day after the hottest Double Ninth Festival on record in Hong Kong, experts gathered at Asia Risk Live at the Ritz-Carlton to explore how banks can manage climate risk for a net-zero economy
Forecasting the loss given default of bank loans with a hybrid multilayer LGD model by extending multidimensional signals
The authors employ signaling theory and machine learning methods to investigate loss given default predictions of commercial banks and propose a method to improve the accuracy of these predictions.
Performance validation of representative sample-balancing methods in loan credit-scoring scenarios
The authors validate 12 of the most representative sample-balancing methods used for credit-scoring models, finding that a combined SMOTE and Editor Nearest Neighbor method is optimal.
Estimating correlation parameters in credit portfolio models under time-varying and nonhomogeneous default probabilities
This paper proposes new maximum likelihood estimation methods that offer greater flexibility than current methods and can account for finite portfolio sizes, scarce default data and time varying, nonhomogeneous default probabilities.
Strong dollar pushes ANZ’s CVA charges up 57%
Risk-weighted assets rose A$1.4 billion in three months; biggest quarterly increase since mid-2019
Crédit Agricole VAR hits highest since 2010
Trading risk gauge rose as high as €27 million during Q3
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
Ulster Bank exit sheds £8.7bn off NatWest’s A-IRB credit RWAs
Reversal to standardised approach helps lower capital charges in Q3 despite €514m exit costs
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.