Credit risk
Credit data: zeroing in on supply chain risk
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
A new model for bank loan loss given default by leveraging time to recovery
In this paper, the author estimates a two-equation system: one for LGD that incorporates time to recovery as one of the model explanatory variables, and the other for time to recovery using survival models that address data censoring.
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
RBC builds loan-loss buffer
Provisions for credit losses rise to C$346 million from C$274 million the prior quarter
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
Risks building at three US G-Sibs
Risk-weighted asset density has increased at BNY Mellon, State Street and Goldman Sachs the most, across the eight US global systemically important banks
Default contagion among credit modalities: evidence from Brazilian data
The aim of this paper is to assess the impact of defaulting on one personal credit modality on future defaults on other modalities. Using Brazilian microdata, the authors run a logistic regression to estimate the probability of default on a given credit…
Risktech start-ups struggle to clinch big-bank contracts
Light on cash, risk management fintechs face an extended gauntlet most won’t survive
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
Capital add-ons rising for UK banks
Median Pillar 2A requirement across six biggest lenders hits 2.3%
UBS faces capital hike from credit model curbs
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
IFRS 9 eases impairment charges, softening Barclays' profit drop
Total credit impairment charge stood at £571 million, a 46% decline year-on-year
Credit data: Trump tax cuts have not hurt US states
Tax package is double-edged sword for US states, but credit has strengthened over past year
EU banks toughen terms for OTC trades – ECB
Credit conditions for SFT and OTC derivatives tightened over past three months
Santander shakes off toxic loans
NPL ratio 145bp lower than at time of Banco Popular takeover
UBS far exceeds 2018 credit and counterparty risk estimate
Sfr2.4 billion growth attributed to model changes alone
Forecasting corporate defaults in the German stock market
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
JP Morgan reports further losses on Steinhoff loans
Hike in net charge-offs related to sale of bad loans to South African firm
Foreign banks may move US loans overseas to skirt CECL
International accounting standards offer more favourable treatment of expected credit losses
Credit data: default risk still growing for Italy’s banks
Despite a drop in the bad loan ratio, default estimates continue to rise, writes David Carruthers of Credit Benchmark
