Credit risk
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample
Intesa Sanpaolo continues battle against bad loans
The ratio of NPLs to total exposures dropped to 4.5% at end-September
Stronger loans buttress ANZ profits, suppress RWAs
Gross impaired assets fall A$400 million year to year
StanChart slashes $6.6 billion of RWAs
Two-thirds of reduction achieved through RWA efficiencies
UK banks gain capital edge through IFRS 9 transitionals
Four big lenders claim £3 billion CRR-mandated relief
BBVA cuts €2 billion of toxic assets
The bank’s NPL ratio fell to 4.1% at end-September
Regional banks prepare CECL proposal for FASB
Bank executive says FASB open to weighing concrete proposal, and banks scramble to make one
Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
Calculating capital charges for sector concentration risk
This paper proposes a methodology to quantify capital charges for concentration risk when economic capital calculations are conducted within a multifactor Merton framework.
US Bancorp cuts $87 million of soured loans
Ratio of toxic assets to total loans fall 19% quarter-to-quarter
Big UK banks have £278 billion exposure to ‘junk’ loans
Non-investment grade exposures make up 31% of total corporate exposures
Output floor to constrain almost half of G-Sibs – Basel study
The Basel III output floor will impose the single largest Tier 1 capital requirement on 46% of G-Sibs
Basel III: EU G-Sib capital requirement to jump 25%
Basel III output floor will add 5.4% to minimum required capital
A general framework for constructing bank risk data sets
This paper proposes a general framework for constructing bank risk data sets, which provides an integrated process from data sources to comprehensive risk data sets.
Improved credit loss estimates proposed for IFRS 9
New smoothing technique claims to overcome flaws in risk rating scales
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
Swiss banks’ market risk drops by $12 billion
Lower risk levels drive quarter to quarter fall
US banks curb market risk
G-Sibs cut $31 billion of market RWAs in three months to June
An empirical study on credit risk management: the case of nonbanking financial companies
The aim of this paper is to predict future default behaviors of nonbank financial company customers using credit scores.
EU funds net sellers of single-name CDS protection
60% of UCITS funds' single-name CDS gross notional exposures were sell contracts in October 2017
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
Stress tests expose climate risks in loan books
Efforts to quantify the risk of global warming are changing the way banks manage credit portfolios