Credit risk
Italian banks lead EU on cutting soured loans
Intesa Sanpaolo, Banco BPM, UniCredit shed most NPLs in H1
Fall in market risk prods UK bank RWAs lower
Total RWAs amounted to £2.9 trillion at end-September
Citizens: tearing up the rule book
Super-regional’s CRO streamlines RBS-era lending rules to speed up credit approvals
Credit data: how US industries have fared under Trump
At the halfway point in the administration, time for a credit check, writes David Carruthers
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
The funhouse mirror of CLO equity hedges
CLO equity cannot be directly hedged, so people are buying approximations and hoping for the best
Proposed repo market reform could kick-start China CDS
Industry hopes easier shorting of bonds will help banks hedge credit protection sales
CECL fans and foes cross swords on Capitol Hill
Dispute over economic impact rages on despite agreement on capital relief
UK bank securitisation exposures on the rise
Originate-to-distribute engine revs up
A fifty-year retrospective on credit risk models, the Altman Z-score family of models and their applications to financial markets and managerial strategies
This paper reflects upon the evolution of the Altman family of bankruptcy prediction models, as well as their extensions and multiple applications in financial markets and managerial decision making.
US banks’ CDS books shrink $2 trillion in two years
Wells Fargo only major bank to grow credit portfolio year-to-date
CLO scare: could rated tranches see losses?
Structures are more solid, but loans are dicier, and recovery rates may be disintegrating
Brexit set to jack up banks’ capital costs
Split into UK and EU arms will reduce netting benefits and capital flexibility
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
Canadian lenders resilient to oil rout
Just 1.7% of 'Big Five' total loans exposed to energy producers
Risk Markets Technology Awards 2019: Vendors enter the pick-and-mix era
Modular tech and micro-services – plus new risk and regulatory needs – are creating openings for insurgents and incumbents
Derivatives house of the year, Asia: BNP Paribas
Energy Risk Asia awards, 2018: BNP Paribas continues to boost its presence in Asian commodities with a focus on bespoke solutions
Best newcomer, Asia: CubeLogic
Energy Risk Asia awards, 2018: Enterprise risk management software firm brings new tools to Asia market, particularly around credit
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
Fed’s Brainard wary of black box AI models in consumer credit
Speech raises explainability issue; says existing model risk guidelines are “a good place to start” in regulating AI
Credit data: rate hikes put borrowers on the rack
Default risk climbing for heavily indebted companies as US rate hikes continue, says David Carruthers
UniCredit retreats from capital target as bond run bites
Italian bank swallows 39bp capital hit in third quarter; 9bp through BTP moves
Santander loan-loss reserves eat into profits
Group-wide provisions pushed higher by the bank's US unit, which saw loan-loss reserves leap 44% to €649m over the quarter
Loan losses bedevil Lloyds in EU stress tests
UK bank saw largest CET1 decline due to asset impairment of EU-wide sample