Internal ratings-based (IRB) approach
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
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework