Credit risk
JP Morgan’s internal VAR hit 10-year high in March
CVA’s credit risk component split from VAR measure following credit spreads widening at some counterparties
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
US trading blunder costs Barclays £2.8bn in credit RWAs
The latest hit follows a £540 million provision to cover the over-issuance of structured notes
Isda set to draft China netting opinion
Banks could be in a position to turn on close-out netting in China by third quarter
UBS settlement risk up 238% as sanctions snag Russia trades
Held-up and failed counterparty transactions add almost $1bn to RWAs
Standardised approach extends reach over US banks’ RWAs
Gap between standardised and advanced RWAs at its widest ever for BofA, BNY Mellon, Morgan Stanley and Wells Fargo
EU banks decry threat of capital hit to UK CCP exposures
EBA says supervisors could apply charges to “excessive exposures” of euro derivatives at all non-EU clearing houses
Wrong-way add-on helped LCH mop up VTB default
Margin supplement bought precious time to formulate wind-down strategy
Morgan Stanley bests Goldman as top US fund single-name CDS dealer
Counterparty Radar: Single-name corporate volume hits record high as Pimco increases positions
Russian invasion stirs up ‘perfect storm’ for XVA desks
Declining credit quality of Russian companies and spike in inflation threaten CVA and FVA double-whammy for banks
Pimco, Franklin Templeton affiliates top for Russia exposure
Counterparty Radar: Funds had biggest long exposures to Russia across credit, rates, FX at end of Q4
The evolution of Intesa Sanpaolo’s credit portfolio management practice
In this podcast, Zoi Fletcher speaks to Elisabetta Bernardini and Biagio Giacalone about the new approaches Intesa Sanpaolo has developed to credit portfolio management.
Smaller EU nations stare down giants in capital floor standoff
EU member states clash over severity of internally modelled output floors for cross-border bank groups
Credit portfolio manager of the year: Intesa Sanpaolo
Risk Awards 2022: Italy’s largest lender is one of the EU’s strongest thanks to smart securitisations
The Collins flaw: backstop turned binding constraint
US legislative tweak was meant to prevent banks from using their own capital models too liberally. It’s now something different
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
How PGGM made 11% a year selling credit protection to banks
Dutch investor expects returns to drop over time unless rising inflation widens risk premia
On comprehensive balance sheet stress testing and net interest income risk attribution
In this paper the authors propose a framework for granular-level stressed net interest income calculation and profit-and-loss risk attribution.
All top US banks below Collins floor
None of the eight systemic banks in the country above the threshold for the first time since 2015
A structural credit risk model based on purchase order information
This paper proposes a credit risk model based on purchase order information to address the deficiencies of monitoring methods that use only financial statements.
Bank-sourced transition matrixes: are banks’ internal credit risk estimates Markovian?
This study explores banks’ internal credit risk estimates and the associated banksourced transition matrixes.
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
UK banks’ RWAs return to growth
Latest Bank of England data shows first increase since Q1, 2020