Credit risk
Citi hits the Collins floor
Of the eight systemic banks in the US, Goldman Sachs remains the only one above the threshold
Risk Technology Awards 2021
Recognising vendor excellence in credit, operational and enterprise-wide risk management
RWA density at Goldman drops to seven-year low
Change to the distribution of the bank’s exposures by risk weighting likely contributed to the reduction
Machines can read, but do they understand?
A novel NLP application built on a Google transformer model can help predict ratings transitions
Deutsche sees equity RWAs jump 29% on new EU rules
CRR II requires banks to calculate exposure they would incur to honour guaranteed returns on investment products
Big US managers diverge on CDS sales
Counterparty Radar: Pimco’s sold positions surge 80%, as PGIM and others retreat
Deutsche takes €17.7bn RWA add-on in final Trim hit
Leveraged loan portfolio among targets of ECB’s remedies
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
Review of credit risk and credit scoring models based on computing paradigms in financial institutions
This paper provides an overview of some prominent credit scoring models used in financial institutions and provides an insight into how the use and integration of popular computing paradigms based on NNs, machine learning, game theory and BDA in credit…
Wells touts new explainability technique for AI credit models
Novel interpretability method could spur greater use of ReLU neural networks for credit scoring
ING takes €5.2bn RWA hit from SA-CCR and last of Trim
Regulatory inflation negates RWA decrease from better loan-book quality
Show your workings: lenders push to demystify AI models
Machine learning could help with loan decisions – but only if banks can explain how it works. And that’s not easy
Empirical validation of the credit rating migration model for estimating the migration boundary
In this paper, a structural model for credit rating migration is developed and validated, by which the migration boundary is recovered for the first time.
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
EBA guidelines on IRB boosts Danske’s credit RWAs
The bank expects further increases in the second half of the year after adding $3.17 billion in Q2
PBs get new help in war on generosity
Big FX venue operators offer way to reduce overallocation of credit
UBS revises credit and counterparty risk estimate
Changes to the bank’s models and methodology expected to add $6bn in second half of the year
The changing shape of bank credit risk post-Covid‑19
As banks and fellow market participants manage a return to some sense of normality following the Covid-19 pandemic, what are the likely long-term implications for data and credit risk management?
Wobblier eurozone banks most exposed to climate change
Lenders with lower CET1 ratios and weaker returns could face more credit defaults from global warming
Morgan Stanley sets aside $73m for credit losses
Bank returns to stash reserves triggered by one facility in Q2
Small and medium-sized enterprises that borrow from "alternative" lenders in the United Kingdom: who are they?
This study provides a general overview of the external financing landscape for the UK SMEs and an exploratory analysis of the SME portfolio of one of the alternative lenders in the United Kingdom.
JP Morgan’s fixed income VAR dives 69%
Average trading VAR down 59% over the previous quarter
UK banks’ RWAs near record low – BoE
Lower credit and counterparty RWAs led the quarterly drop, latest figures show
A sharper focus on credit risk – Accessing Basel III SCRA data
The final Basel III framework will usher in a more nuanced approach to credit risk assessment. To address the challenges and benefit from the attendant opportunities, organisations need to be able to gather and manage the necessary data