Credit risk modelling
BMO shrinks loan-loss provisions as US outlook improves
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
Smoothing algorithms by constrained maximum likelihood: methodologies and implementations for Comprehensive Capital Analysis and Review stress testing and International Financial Reporting Standard 9 expected credit loss estimation
In this paper, the author proposes smoothing algorithms that are based on constrained maximum likelihood for rating-level PD and for rating migration probability.
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
Banks grapple with IFRS 9 and CECL loan loss forecasting
Ambiguity in rules sets up potential clash between banks and auditors over “reasonable and supportable” projections
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
Singapore’s banks frontload IFRS 9 provisioning hit
UOB, OCBC announce $1.4 billion set-asides in Q4 results to account for oil and gas loan exposures
Banks begin to model climate risk in loan portfolios
Environmental stress tests and scenario analysis reveal hidden risks
Credit data: the Trump effect on PDs
The war on coal is over, according to the US president – and the effect can be seen in banks' default estimates
Credit data: US retail woes are not universal
Default probabilities paint a mixed picture of the decline of American shops
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
IFRS 9 prompts Asian banks to downgrade loan books
DBS raises provisioning on weaker energy loans fourfold in third quarter, citing rules impact
Banks eye synthetic securitisation to cut IFRS 9 loan-loss spikes
New structures would help mitigate estimated 44% increase in loan-loss provisions from revised accounting framework
Cecl pitting risk managers against accountants, says quant boss
Banks are ‘all over the place’ on modelling expected credit losses, says Regions’ Maglic
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
Capital buffers needed to combat price bubbles, says Jarrow
Banks should carry extra capital to combat distortive effects of price bubbles, says academic
IFRS 9/CECL Special Report 2017
Implementation of International Financial Reporting Standard 9 (IFRS 9) on January 1, 2018 – just over three months away – will mark a sea change in centuries-old accounting conventions, and will force banks to dramatically increase provisioning against…
Monthly credit data review: PDs imply Brexit stress
Default risk for group of UK corporates has risen 11% over the past year
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Risk managers in power struggle over IFRS 9 model development
Putting accounting specialists in charge of IFRS 9 models is ‘not optimal’
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements