Credit risk capital
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Static and dynamic risk capital allocations with the Euler rule
This paper studies the volatility of the Euler rule for capital allocation in static and dynamic empirical applications with a simulated history.
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
Fresh scrutiny for Europe’s SME capital carve-out
FSB’s Knot urges conformity with global standards
Basel Committee frets over poor member discipline
Tsuiki warns on fragmentation risk as countries delay NSFR, FRTB implementation
Fed pushes big banks to calculate CVA for CCPs
Banks including JP Morgan and Credit Suisse told to quantify exposure to CCPs for annual stress tests
Sovereign risk weights cannot wait
Why reform of Basel rules is urgent – and how to improve on December 2017 proposals
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
Large banks thrash regionals’ proposal on CECL
Plan would require more work and produce no capital benefit, executives tell FASB
Metro Bank loan blunder perplexes industry
Bankers surprised risk-weight errors went unnoticed, warn they could harm bank’s IRB aspirations
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Fed could soften CECL impact on stress tests, banks say
Risk USA: Firms may be allowed to spread impact of projected losses across CCAR cycle
Regional banks prepare CECL proposal for FASB
Bank executive says FASB open to weighing concrete proposal, and banks scramble to make one
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
New credit risk modelling approach touted to reduce CCAR bias
Academic aims to address gaps in existing LGD forecast method with two-equation fix
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'