Credit risk
Approximating lifetime expected credit loss
Credit rating and collateral value's changes have a measurable impact on creditworthiness
Finma hits UBS with $7bn add-ons
Bank’s prime brokerage unit and VAR model targeted by the Swiss regulator
Evergrande exposes China’s lack of credit hedges
Onshore credit derivatives market has been little help during property giant’s recent woes, sources say
US banks step up FX optimisation push as SA-CCR looms
With swaps and forwards hit hard by new capital measure, dealers turn to vendors and bilateral restructuring
NatWest’s PB chief on not changing course after Archegos
Marcus Butt believes diversity of clients, both in size and type, is the best way to manage risk
Citi reorg the final note in failed swaps clearing model
Strategic shift from OTC clearing powerhouse to client support function marks the end of an era
European banks set for 17.6% capital hike under Basel III
Output floor expected to push Tier 1 capital requirements up 7.3% alone, latest BCBS monitoring report shows
Study fuels doubt over benefits of climate risk-weights
Research finds both green supporting factor and carbon penalising factor have drawbacks
A survey of machine learning in credit risk
This paper surveys the impressively broad range of machine learning methods and application areas for 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