Internal ratings-based (IRB) approach
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Corporates fear price rises if Basel curbs credit risk models
Trade finance exposures would move to standardised approach
Basel plans modelling curb for billions in credit RWAs
Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Industry fears grow ahead of Basel IRB consultation
Biggest share of bank capital at stake as regulators take aim at credit models
Europe's new supervisory toolkit
Data and transparency remain challenges for EBA
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Q&A: Finansinspektionen's Uldis Cerps on capital floors and too-big-to-fail
Floors framework should not overstate risk, says Sweden's bank supervision chief
Capital floors could spur risk-taking – Swedish FSA
"Very careful" calibration needed to avoid bad incentives, says senior supervisor
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
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Murray report emphasises competition concerns
Larger lenders have capital advantage, inquiry finds
Comparative analysis of credit risk models for loan portfolios
In this paper, the authors compare credit risk models that are used for loan portfolios, both from a theoretical perspective and via simulation studies.
Basel will reinforce IRB not replace it – Byres
Standard-setter will publish modelling overhaul plan before November G-20 summit
Basel Committee may look to floors and fixed parameters
Committee may introduce new floors on internal model outputs, after a report on RWAs for credit risk in the banking book found wide variations in bank practices
Indonesia’s credit growth outrunning risk management
Credit limit
Q&A: Solving the RWA conundrum
How to define RWAs has prompted debate across the global industry but Standard Chartered head of portfolio risk, Paul Harrald, says he has a solution
HKMA’s tight control over default data inputs reduces RWA significance
Hong Kong doesn't give local banks any latitude over the data inputs to their risk models, says one risk manager from the Special Administrative Region