Credit risk
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
CaixaBank credit risk blitz drives 22% drop in loss reserves
Allowances taken from Q2 earnings fall to just €81 million
Darker credit forecast forces Deutsche’s PCLs up to €161m
Provisions for credit losses rise from €94m in the year-ago quarter
As revamp begins, Deutsche’s RWAs for CVA fall
Credit valuation adjustment RWAs down 30% year-on-year
Capital One shrinks credit-loss provisions by 21%
Provisions in Q2 2019 took 23% bite out of the bank's $5.7 billion revenues
Risk Technology Awards 2019: Making machines more helpful
Machine learning can be too efficient; now, vendors are looking for ways to make it more accurate. Clive Davidson looks at the stories behind this year’s Risk Technology Awards
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
Resampling ‘slashes’ credit risk VAR underestimates
Academics claim Vasicek model’s underestimation tendency can be slashed to near-zero
Citi loan-loss provisions build to $2.1bn
Credit reserve ramp up pushes PLLs higher
UK bank RWAs inch up on credit and counterparty risk
Total RWAs stable year-on-year
S&P resists mapping new China onshore ratings to global scale
Uncertainty over state support and accounting prompts agency to keep Chinese ratings separate
Credit data: China, US corporates feeling trade tensions
Dispute has ended a steady improvement in corporate credit risk
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Risk and finance – Better together
Changing regulations and new accounting standards are creating enormous challenges for financial organisations. Thorsten Hein, principal product marketing manager, risk research and quantitative solutions at SAS, explores why, to successfully meet these…
IFRS 9: peripheral EU banks hold most impaired assets
Stage three assets make up 3.6% of all EU bank loans and advances
EU banks’ credit risk estimates continue to fall
Mean average weighted corporate PD down to 2.24% from 2.61% in Q1 2018
Big banks to bear brunt of Basel III reforms in EU
G-Sibs short €82.8 billion of Basel III capital
Basel’s unlikely victim: venture capital
Changes to credit risk framework could block alternative path for EU banks to finance SMEs
Czech National Bank raises countercyclical buffer to 2%
Increase takes effect from July 2020
Corporate loan exposures weigh on EU banks
Risk density across EU G-Sibs stood at 93% for corporate loan exposures
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
