Credit risk
Valley National sees surge in delinquent CRE loans in Q3
Bank’s net charge-off rate more than doubles as $114 million in CRE loans become past due
Delinquency rates bounce back at top US lenders
Weaker 2022 loans, tougher collections and seasonal factors push past-due loans higher in Q3
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
Nine jurisdictions yet to finalise Basel III rules
Turkey and South Africa worst laggards, with no final drafts published
Revolutionising credit surveillance: part one
Early warning indicators for credit risk changes are key, especially during high market volatility. Some of these indicators rely on security prices as the primary driver; however, the volatility of market prices may cause the early warnings to be active…
Litigation risk assessment: a novel quantitative recency–frequency–monetary model
The authors assess litigation risk and credit risk of companies and investigate interrelationships between these risks, finding a correlation between them.
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
Supervisors use generative AI to tame ‘chaotic’ data
Officials merge credit databases with unstructured reports to sharpen bank oversight, explains Banco de España ex-deputy
Could Trump presidency herald $27bn margin call on World Bank?
Think-tank’s policy plan to pull US out of multilateral threatens AAA rating, ending collateral exemption
Backtesting correlated quantities
A technique to decorrelate samples and reach higher discriminatory power is presented
Risk management overhauls juggle speed and independence
Some banks say the 1.5 line of defence responds faster to risk, but supervisors are still divided
UBS Americas’ delinquent mortgages up sixfold post Credit Suisse merger
Share of delinquent exposures jumps to 1.2% of bank’s total real estate loan portfolio
The post-Archegos risk model rebuild begins… slowly
Following regulatory prodding, banks start to overhaul counterparty risk models. A flurry of new research on the topic may aid the effort
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
Consumer credit card payment dynamics over the economic cycle
This papers uses data from 1.8 million credit card accounts to investigate how consumers revolve credit card debt and the impact of this on default risk.
Credit options notional for top US dealers soars 45.3%
Investor demand for puts and calls drives balances near Q1 2022 record
Valley National cuts CRE concentration after balance sheet tweak
Reassessment of nursing-home loans as ‘owner-occupied’ brings CRE-to-capital benchmark down 24 percentage points in Q2
HSBC’s stage 3 loans jump in H1 by most since pandemic
Deteriorating CRE loans in Hong Kong drive surge
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase