Internal ratings-based (IRB) approach
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
Shift out of models nets Credit Suisse 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
ECB data spotlights credit risk-weight disparities
Weightings applied to standardised approach exposures far exceed those for IRB equivalents
Barclays used securitisations as credit risk shield in 2019
Risk-weighted assets for these exposures increased 44%
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
When the data’s not there, expert-led models could help
Missing data is a problem. Expert elicitation taps the knowledge of many, say consultants
Credit data: US slowdown starts to bite for high yield
Credit quality in the US is turning, while the UK is sliding sharply, writes David Carruthers
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Saudi bank merger lowers RBS’s credit RWAs
Standardised credit RWAs fall 23% quarter-on-quarter
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2
Q&A: ‘Stop talking about rules’ – Basel’s Coen
Standard-setter’s top staffer is moving on. He wants industry to do the same
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Basel’s unlikely victim: venture capital
Changes to credit risk framework could block alternative path for EU banks to finance SMEs
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Fresh scrutiny for Europe’s SME capital carve-out
FSB’s Knot urges conformity with global standards
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%