Expected loss
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
IFRS 9 compliant economic adjustment of expected credit loss modeling
This paper presents an International Financial Reporting Standard 9 (IFRS 9) compliant solution related to expected credit loss modeling.
European regulator U-turns on synthetic securitisations
Deals with use-it-or-lose-it mechanism can qualify for capital relief, EBA policy expert says
Bleak macro view pushes Lloyds’ ECL over £5bn
Anticipated loan losses for commercial loans up 39% on end-2019
Covid loan losses exceed 2019 CCAR projections
CECL accounting likely responsible for discrepancy
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights. The model and approach are validated by an empirical example, where they…
Credit impairment charge up 22% at StanChart
Higher provisions taken, even as number of stage three loans drops
CECL drains $2.9bn from Capital One’s CET1
Core capital ratio to fall 16 basis points following switch to new accounting standard
At CIBC, update to loan-loss model lifts credit provisions 38%
Darker economic outlook justified a shift in ECL model weightings
CECL prompts loan sales, hunt for insurance
Risk USA: ‘CECL hogs’ could deplete capital ratios and be a drag on earnings
A triptych approach for reverse stress testing of complex portfolios
Pascal Traccucci et al present an extended reverse stress test triptych approach with three variables
IFRS 9 flings loan-loss provisions haphazardly higher
Under the standard, cash piles for bad loans were expected to ramble. Just not quite so much
International Financial Reporting Standard 9 expected credit loss estimation: advanced models for estimating portfolio loss and weighting scenario losses
In this paper, the authors propose a model to estimate the expected portfolio losses brought about by recession risk and a quantitative approach to determine the scenario weights.
Will the Nasdaq default spur CVA for CCPs?
Quant proposes model to calculate bank credit risk exposure to CCP
UK banks gain capital edge through IFRS 9 transitionals
Four big lenders claim £3 billion CRR-mandated relief
Banks ask Fed to delay CECL impact on stress testing
Fed asked not to implement CECL into CCAR until 2021
'Big Five' Canadian banks' loan-loss ratios improve
BMO cuts PCL ratio 10 basis points year-on-year
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
Adapting the Basel II advanced internal-ratings-based models for International Financial Reporting Standard 9
This paper examines how we may use A-IRB models in the estimation of expected credit losses for IFRS 9 purposes.
Primary-firm-driven portfolio loss
This paper describes a simple model that can be used for risk management.
CECL: preparing for the new standard
Sponsored webinar: Wolters Kluwer
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them