Credit risk
Mid-sized US banks set aside less for credit losses in Q4
Aggregate provision for credit losses at Truist, Capital One, PNC and US Bancorp more than doubled in 2020
The outlook for 2021 – Credit risk
David Croen, head of credit risk products at Bloomberg, reveals how credit risk management strategies are changing in the current environment, and the tactics and tools available for gaining a more forward-looking view on credit risk in the future
Four in five EU banks quizzed on credit risks in 2020
Covid panic exposed cracks in banks' credit models
Capital One’s oil and gas portfolio shrank 27% in 2020
Net charge-offs for Q4 2020 hit 9.4%
Estimating financial risks from the energy transition: potential impacts from decarbonization in the European power sector
The authors present an integrated assessment of energy transition risk that links future energy scenarios to a structural economic model.
ETF options: the market’s latest credit hedge
Investors look to derivatives on fixed income exchange-traded funds to manage credit risk exposure
Credit risk of EU state-backed loans deteriorated in Q3
Almost 5% of public guarantee scheme loans are designated ‘stage two’
Systemic US banks drew down credit reserves in Q4
JP Morgan released $1.9 billion back into income alone
Citi releases $2bn from loan-loss reserves as macro outlook brightens
Total allowances for loan losses are 95% larger than at end-2019
From incurred loss to current expected credit loss: a forensic analysis of the allowance for loan losses in unconditionally cancelable credit card portfolios
The authors analyze the performance of the CECL framework under plausible assumptions about allocations of future payments to existing credit card loans, a key implementation element.
CVA charges concentrated among top banks in Europe
Crédit Agricole, Deutsche Bank, Barclays, Commerzbank and Societe Generale account for 31% of total CVA across 135 banks
Asian banks bite back at big tech
Asia Risk 25: Asian lenders eye technology and data to help tame disruptors on their turf
Statistical properties of the population stability index
This paper aims to fill a gap in the literature by providing statistical properties of the population stability index (PSI) and some recommendations on its use.
Shadow banks muscled in on traditional lenders’ turf in 2019
NBFIs grew 8.9% last year
Banks in outer EU grew loan reserves most through Covid – EBA
Substantial differences found at country level on degree of coverage ratio build
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
Wind-down of Deutsche’s ‘bad bank’ slows
German lender expects capital release unit to be €51 billion in size in 2022
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Client engineering of XVA
A client’s guide to reducing XVA in times of need
Capital cliff effect awaits EU banks as Covid support wanes
CET1 ratios have benefited from state intervention, but could drop sharply as measures expire
Weak EU banks may lowball Covid loan losses – ECB
Low-profitability banks provision less than their more flush counterparts
State-backed Covid loans have light capital impact – EBA
Average risk density of guaranteed loans was 18% at end-June
Aussie bank loan-loss provisions top A$11bn
Westpac absorbed the largest charge of the ‘Big Four’
Supervisory bank risk early warning modeling: an examiner’s first line of defense
The results of this paper show that robust forward-looking statistical models are superior to backward-looking assessments of supervisory compliance, which could lead to less regulatory burden when integrated into the examination process, particularly at…