Credit risk
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
A structural credit risk model based on purchase order information
This paper proposes a credit risk model based on purchase order information to address the deficiencies of monitoring methods that use only financial statements.
Bank-sourced transition matrixes: are banks’ internal credit risk estimates Markovian?
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020
Some EU banks keep underprovisioning for ECLs
Divergences between accounting and regulatory markdowns remains high at some top lenders
Evergrande stress boosts fledgling China CDS indexes
Interest surges in products seen as better gauges of credit risk for embattled property sector
SA-CCR halts Citi’s buybacks plan
Bank will pause stock buybacks until new year to mitigate new methodology impact and create extra capital headroom
SA-CCR brings little succour for FX dealers and clients
Spreads on swaps and forwards likely to widen as banks adjust to capital-intensive regime
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
The wild world of credit models
The Covid-19 pandemic has induced a kind of schizophrenia in loan-loss models. When the pandemic hit, banks overprovisioned for credit losses on the assumption that the economy would head south. But when government stimulus packages put wads of cash in…
Driving greater value in credit risk and modelling
A forum of industry leaders discusses the challenges facing banks in measuring and mitigating credit risk in the current environment, and strategies to adapt to a more stringent regulatory framework in the future
Copping out on climate change: buy-side risk survey
Only 9% say front-line staff have climate role today – specialists call for better metrics and link to pay
Scalability could trump complexity in machine learning debate
Risk USA: banks “on the precipice” of adopting more complex models, says Goldman exec
Estimating loan loss provisions may have just got easier
Commerzbank quant proposes shortcut to calculate lifetime loan loss reserves
Offshore hedging of foreign banks’ China claims at record low in Q2
Just 6% of claims on the country were hedged through offshore risk transfers at end-June, BIS data shows
Neural networks show fewer false positives on bad loans – study
Machine learning method edges regression techniques in linking nonlinearities among delinquent borrowers