Credit risk
Over €1trn of EU insurer assets subject to climate risks
Housing exposures make up bulk of those vulnerable to climate change
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Structured products – The ART of risk transfer
Exploring the risk thrown up by autocallables has created a new family of structured products, offering diversification to investors while allowing their manufacturers room to extend their portfolios, writes Manvir Nijhar, co-head of equities and equity…
An advanced hybrid classification technique for credit risk evaluation
In this paper, the authors employ a hybrid approach to design a practical and effective CRE model based on a deep belief network (DBN) and the K-means method.
Credit data: no-deal Brexit threatens UK retail sector
Italian credits are improving, but banking sector is not out of the woods yet
‘Regulatory headwinds’ add €13bn to UniCredit’s RWAs
Frontloading of credit risk model guidelines saps CET1 ratio by 40bp
The great migration: CCPs ponder life after Span
As CME moves to a value-at-risk methodology, CCPs that license its model look on nervously
EU banks relax credit terms for OTC trades – ECB
Price and non-price trade conditions likely to ease for most firms in Q3
Saudi bank merger lowers RBS’s credit RWAs
Standardised credit RWAs fall 23% quarter-on-quarter
Optimal posting of collateral with recurrent neural networks
Pierre Henry-Labordère applies neural networks to a control problem approach for managing collateral
Credit Suisse’s credit loss provisions fall 69% in Q2
Cash put aside to cover defaults and soured loans lowest for three years
Soured loans tick up at EU banks in Q1
Total stock of NPLs hits €663 billion
An efficient portfolio loss model
This paper develops a parsimonious model for evaluating portfolio credit derivatives dependent on aggregate loss.
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