Credit risk
Counterparty risk: credit valuation adjustment variability and value-at-risk
This paper proposes an efficient method to obtain the distribution of the CVA at a given risk horizon, from which risk measures such as the CVA VaR can be computed.
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
Libor will not transition quietly – What you need to know now
Liang Wu, vice-president of financial engineering and head of CrossAsset product management at Numerix, discusses the scope of the transition from Libor to alternative reference rates – also known as risk-free rates (RFRs), including their…
A statistical technique to enhance application scorecard monitoring
Application scoring plays a critical role in determining the future quality of a lender’s book. It is therefore important to monitor the performance of an application scorecard to ensure it performs as expected.
EU banks cut €56bn of toxic loans
The region’s NPL ratio stood at 3.2%, down 20bp on the previous quarter
Credit data: more trouble in the oil and gas pipeline
US self-sufficiency in oil could be bad news for shale producers
Credit portfolio stress testing using transition matrixes
In this paper, the authors propose a new methodology for modeling credit transition probability matrixes (TPMs) using macroeconomic factors.
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
At US G-Sibs, loan-loss reserves hit $5.6 billion in Q1
Wells Fargo’s PCLs climb 62% quarter-on-quarter
Allianz’s counterparty risk charge up €102 million in 2018
Total solvency capital requirement down €600 million year-on-year
Banco Santander hit hard by IFRS 16
Average capital depletion across seven G-Sibs was 11bp
Axa market risk charge drops almost €3bn in 2018
Solvency capital requirement falls 9% year-on-year
Germany plans countercyclical buffer hike
Iceland, Bulgaria and France have also increased add-ons year-to-date
CDS sold by US banks down $55bn in Q1
JP Morgan cut CDS notionals the most, shedding $36.8 billion from its portfolio
BoE makes climate risk a hot topic for banks
Financial institutions must entrust oversight of climate risk to named individual under senior managers regime
Validation of the backtesting process under the targeted review of internal models: practical recommendations for probability of default models
This paper provides practical recommendations for the validation of the backtesting process under the targeted review of internal models (TRIM).
Ice creates daily credit risk monitoring tool
Company muscles into Bloomberg’s fixed income data territory with bond analytics service
Swaps data: IM grows in listed and OTC markets
Data shows fourth-quarter jump in IM across all product groups and after-effects of Nasdaq losses
Making technology count in a C/ETRM world
As businesses grow, so does their need for modern, agile and cost-effective commodity/energy trading risk management (C/ETRM) solutions. Pioneer Solutions explores how its next-generation, highly configurable C/ETRM systems take advantage of the latest…
Securitisation setback causes credit risk build-up at BNPP
Total RWAs increase 3% on quarter-on-quarter
Nordic, UK banks have highest countercyclical buffers
Nordea, Lloyds and RBS had the largest add-ons of banks surveyed
IFRS 16 takes bite out of Danske’s capital ratio
RWAs rise Dkr6.2 billion on accounting switch
Credit losses in US, Turkey ding BBVA’s profits
Impairments jump €142 million in the US and €51 million in Turkey year-on-year