Credit risk
Relaxing the assumption of conditional independence in an asymptotic single risk factor model
Within the framework of dynamic credit provisioning and stress testing, this paper shows how conditional correlation impacts an asymptotic single risk factor model.
BofA sets its sights on US synthetic risk transfer market
New trading initiative has already notched at least three transactions
Distributionally robust optimization approaches to credit risk management of corporate loan portfolios
A new approach to manage credit risk in financial institutions - the empirical divergence-based distributionally robust optimization - is proposed and shown to alleviate the challenges of sample sparsity and data uncertainty in credit risk modeling.
A method of classifying imbalanced credit data based on the AC-CTGAN hybrid sampling algorithm
The authors put forward a novel method with which to identify risk in consumer credit data and demonstrate its enhanced generalization ability compared to commonly used methods.
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
New climate inputs upset Commerz’s loan risk map
Integration of sustainability parameters into provision models shifts €16 billion of loans to stage 2
Consolidation of Arval exposures adds €20bn to BNP Paribas’ RWAs
Bank shifts exposures from soon-to-be retired equity IRB treatment to standardised approach
CCPs’ skin in the game drops to historic low
Clearing members bear increasing load, analysis of 15 clearing houses shows
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
HSBC’s China CRE provisions surge to cover one-fourth of book
Additional reserves and reduced exposure elevate ECL coverage for mainland portfolio
NYCB’s NPLs surge continues despite efforts to pare loan book
Soured loans up almost sixfold since start of the year
Why the Basel III rollback won’t halt US risk transfer deals
New structures could free up reserves as well as regulatory capital, says lawyer who helped launch market
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