Credit risk
IFRS 9: Managing the transition to the new loss modelling
Sponsored webinar: Wolters Kluwer
Comprehensive Capital Analysis and Review stress tests: is regression the only tool for loss projection?
The authors of this paper present a cross-sectional stress test analysis of major US banks.
Liquidity biggest worry for RWE Supply & Trading CRO
Regulation could "kill the markets by trying to make them safer", frets Uwe Schulz
Credit risk: taking fluctuating asset correlations into account
This paper puts forward an ensemble approach for asset correlations.
Keeping score: Evolving wholesale credit on a maturity model
Content provided by IBM
Absa: Gaining a single view of risk across both trading and banking books
Content provided by IBM
The robustness of estimators in structural credit loss distributions
This paper examines the performance of MM, ML and OLS estimators through Monte Carlo experiments for various sample sizes and correlation values when the true data is from non-Gaussian processes.
KeyBank: Starting the day with a full picture of market and counterparty credit risk
Content provided by IBM
Default predictors in credit scoring: evidence from France’s retail banking institution
This paper presents the set-up of a behavioral credit-scoring model, and estimates such a model using an auto loan data set of one of the largest multinational financial institutions based in France.
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Smaller China banks opt for internal credit risk modelling
Basel III and a rise in bad loans drive banks to reassess credit risk management
Combine market, credit and liquidity risk simultaneously
Separate treatments can lead to underestimation of total risk
Largest funds face more equity and credit risk six months on
But industry sees less interest rate risk and inversely exposed to volatility
Capital hit from death of 0% sovereign weight 'not enormous'
Banks would have to raise equity equal to 0.7% of current levels, ESRB finds
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Risk Books: Risk Culture and Effective Risk Governance
Patricia Jackson discusses her new book and the different factors that influence an effective risk culture.