Credit risk
Lenders reveal struggles over IFRS 9 roll-out
Size of task caught some banks unawares, leading to botched home-grown systems or data problems
New capital floor saves CIBC C$244 million
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
Retail banking performance improves Groupe BPCE cost of risk
Retail banking network cost of risk falls 22bp to 15bp
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
Credit default prediction using a support vector machine and a probabilistic neural network
In this study, the authors address the fact that the ranking of classifiers varies for different criteria with measures under different circumstances, by proposing the simultaneous application of support vector machine and probabilistic neural network …
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Credit data: firms with fewer well-paid women are riskier
Gender pay gap disclosures could be a proxy for credit risk, writes David Carruthers of Credit Benchmark
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
ANZ credit recoveries boost earnings
Loss rate drops 10 basis points year-on-year
Lord Abbett turns to Deutsche for CDSs
German lender increases share of fund's CDS portfolio
BBVA gets capital relief through synthetic securitisation
Second deal with European Investment Bank frees up balance sheet for lending
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
Nordea de-risking improves loan-loss ratio
Provisions down €73 million year-on-year
Fed risk rating system unifies stress testing and 3LOD
Some banks have qualms over potential downgrades and overlap between first and second lines
Bank of Japan cautions on low loan-loss reserves
Lenders vulnerable to reverse in benign economic conditions
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
Fed to ease CECL capital impact
Phase-in of capital impacts over three years proposed
Rising yields prompt China banks to up loan-loss coverage
Domestic and foreign lenders reassessing loan books and tweaking hedging strategies
Credit data: UK retail sector’s woes continue
High street fails to get over Christmas slump; elsewhere, global PDs remain in flux, writes David Carruthers of Credit Benchmark
ECL regimes a volatile brew of risk and accounting
Fed asks banks to propose a solution to address CECL-CCAR mismatch
Scotiabank’s Daniel Moore on the evolution of the CRO
Data and technology will help risk managers improve risk-adjusted returns