Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Real GDP projected to contract –4.3% over three-year scenario horizon
Widening risk imbalances between eurozone member states threaten monetary union, says Italian regulator
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Decades, not years, of credit losses required for accurate risk modelling, argues expert
Fulcrum Asset Management is running tests to see if fresher data can help improve factor allocations
Techniques include using many datasets, relying on proxies and continually reviewing models
Four of the five largest Canadian lenders saw provisions rise, with BMO the only outlier
Researchers suggest combining firm’s size with loss history to best predict losses under CCAR
When stocks and bonds fell in tandem this year, it sparked a debate about whether a lasting regime shift could be predicted
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
Monetary policy and bank regulations contribute to widening US wealth gap
Myopic models are creating feedback loops, warns founder of new macro firm Avoca
This paper considers an entrepreneur who has no assets in place but possesses an option to invest in a project incurring a lump-sum investment cost, of which a fraction must be financed by entering into an equity-for-guarantee swap.
Academics say tool could offer policymakers up to three years’ notice of impending crash
EU authority set to clarify whether buy side needs to pay for macro research in Mifid II
This paper focuses on the corporate stress testing models for credit risk.
Lender releases new capital plan after worst performance in BoE test
Combinations of models produce better NPL estimates in study of Greek crisis
Flawed and inconsistent mainstream macroeconomic theories such as efficient market hypothesis are dangerous to society, says Alexander Lipton
The authors demonstrate how different credit risk models can be efficiently implemented for scenario analysis and stress testing execution with concrete application examples.
Latest review identifies two ‘medium-level systemic risks’ to eurozone