Expected loss
Middle East risks lift StanChart Stage 2 loans
Early alert exposures rise $1.5 billion as conflict-related downgrades mount
Dutch banks see mortgage loans sour in Q4
ABN Amro’s stage 2 mortgage ratio hits highest level since Covid-19 pandemic
Using option prices to trade the underlying asset
The authors propose strategies with which to trade the underlying assets of options based on large data sets generated by options trading.
New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
The impact of deterioration in rating-model discriminatory power on expected losses
The authors propose a means to estimate the effects on a portfolio’s expected credit loss created by underwriting model risks.
Stage fright: lenders still struggling with IFRS 9 transitions
Divergence in how banks move loans between stages of impairment prompts regulators to push for more homogenous approach
Pricing options using expected profit and loss measures
The authors investigate the pricing of options using an EP-EL approach, finding that this methodology generates large amounts of useful information for option traders.
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
Portfolio allocation based on expected profit and loss measures
The authors formulate the portfolio allocation problem from a trading point of view, allowing both long and short positions and taking trading and interest rate costs into account.
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
Enhanced scrutiny of Covid loans at CaixaBank leads to €321m charge
Stock of ‘stage two’ loans increased 48%
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
Buffer stops? Why banks haven’t used Covid capital relief
Amid weak credit demand, banks haven’t availed themselves of capital buffers, but they still might
Weak EU banks may lowball Covid loan losses – ECB
Low-profitability banks provision less than their more flush counterparts
EU loans under Covid moratoria have high credit risk – EBA
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
A FAVAR modeling approach to credit risk stress testing and its application to the Hong Kong banking industry
In this paper, a credit risk stress testing model based on the factor-augmented vector autoregressive (FAVAR) approach is proposed to project credit risk loss under stressed scenarios.
Souring loans piled up at EU banks in Q2
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
Covid credit outlooks for UK banks vary
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases