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.
Weighted average corporate borrower PD across countries climbed to 2.15%
Lloyds’ CET1 ratio reaped a 120bp benefit
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.
Amid weak credit demand, banks haven’t availed themselves of capital buffers, but they still might
Low-profitability banks provision less than their more flush counterparts
Banks in Austria, Iceland, Romania and Slovakia especially vulnerable, data shows
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.
Share of loans that have declined in creditworthiness made up 8.2% of lenders’ totals
Weighted average corporate borrower PD across countries climbed to 2.04%
Standard Chartered and HSBC have worst downside outlooks relative to their own base cases
ING sees loan-loss charge double in Q2
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Though credit outlook has darkened, banks expect to increase lending overall
Base case for 2020 now projects UK GDP to drop 10%
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
IFRS 9 transitional measures added 35bp to CET1 ratio
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Anticipated loan losses for commercial loans up 39% on end-2019
CECL accounting likely responsible for discrepancy