Internal ratings-based (IRB) approach
Credit risk concentrations vary across big EU banks
The median G-Sib had roughly 60% of its credit portfolio exposed to counterparties outside its domicile
Sberbank's switch to IRB approach lifts capital ratio
Despite the RWA increase, the bank's CET1 capital ratio rose 20 basis points, to 11.6%
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
Credit risk quants are hitting the tech gap
An appetite to cut the costs of IRB is constrained by tougher regulatory scrutiny
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
French banks loaded with Italian risk
Six French dealers hold €47 billion of sovereign exposures
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
National supervisors put pressure on global risk models
Varied supervisory and external audit demands stretch cross-border risk management
Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
BIS renews claims of capital 'gaming'
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows