Credit risk
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
CECL vs CCAR: banks fear loan-loss reserves mismatch
Lifetime loan loss estimates will look much worse under CCAR stress scenarios than accounting measure
Banks grapple with IFRS 9 and CECL loan loss forecasting
Ambiguity in rules sets up potential clash between banks and auditors over “reasonable and supportable” projections
Credit data: a tough year for South African financials
Default risk rose steadily for 36 firms during Zuma’s final months of rule, writes Credit Benchmark’s David Carruthers
FCMs warn EU client-clearing rules could increase risk
Emir review calls for clearing access to be 'non-discriminatory' - might mean banks have to take risky clients
Singapore’s banks frontload IFRS 9 provisioning hit
UOB, OCBC announce $1.4 billion set-asides in Q4 results to account for oil and gas loan exposures
Credit data: Brexit gloom lifting for UK companies?
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
A copula approach to credit valuation adjustment for swaps under wrong-way risk
This paper deals with the credit valuation adjustment (CVA) of interest rate swap (IRS) contracts in the presence of an adverse dependence between the default time and interest rates: so-called wrong-way risk (WWR).
Nonlinear relationships in a logistic model of default for a high-default installment portfolio
This paper uses data on consumer credit along with generalized additive models to analyze nonlinear relationships and their effect on predicting the probability of default in the context of consumer credit scoring.
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk