Credit risk
OK, computer? Hurdles remain for machine learning in credit risk
Concerns over cost, applicability and oversight give pause to banks’ use of ML techniques in credit risk
Bank risk committees: desperately seeking risk managers
Most boards still lack career risk specialists despite tighter governance requirements
Climate risk joins ethics in driving lending decisions
Barclays, BNP Paribas and others are analysing risk of climate change-related losses
EU insurers most exposed to French sovereign risk
French government bonds make up 23% of sovereign exposures
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Modeling dependent risk factors with CreditRisk+
In this paper, an extension of the CreditRisk+ model, called the mixed vector model, is proposed.
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
Banks question CECL procyclicality research
Banks dispute Fed paper showing accounting switch will lessen loan reserve procyclicality
European banks face ‘bottleneck’ to complete EBA stress test
New accounting rules and supervisor demands squeeze teams prepping for 2018’s exercise
Fed credit limits likely to hit investment banks, custodians hardest
State Street, BNY Mellon, Morgan Stanley, Goldman Sachs have low credit limits; high bank exposures
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
US bank RWA density edges higher
Morgan Stanley density increases from 41.46% to 45.47% year-on-year
Over one-quarter of EU bank credit exposures overseas
Spanish banks exhibit highest level of overseas risk, Nordic banks the lowest
Credit data: ‘dirty diesel’ woes weigh on autoparts firms
Auto supplier default risks have jumped, as environmental concerns hit prospects for diesel vehicles, says David Carruthers of Credit Benchmark
'Big Five' Canadian banks' loan-loss ratios improve
BMO cuts PCL ratio 10 basis points year-on-year
BMO shrinks loan-loss provisions as US outlook improves
US provisions for credit losses drop from C$110 million to C$44 million year-on-year
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
Scotiabank reports volatile loan-loss provisions
A C$31 million jump in provisions largely attributed to a single deteriorating loan
Higher profits bolster EU bank capital ratios
Discrepancies persist between countries worst and least hit by eurozone crisis