Credit risk
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…
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