Probability of default (PD)
Weather, or not: is climate risk just part of credit risk?
Practitioners divided on whether climate risk can fit into existing credit risk weights
EC expected to apply output floor at group level only
‘Parallel stacks’ proposal unlikely to appear in first draft of CRR III, due next month
Default risk set to rise from climate inaction – ECB
‘Hothouse world’ scenario could see average probability of default increase significantly more than under both orderly or belated transition
Validation nightmare: the slotting approach under International Financial Reporting Standard 9
This paper makes an important contribution to the practice of validation by focusing on an under-researched area of the slotting approach to real estate specialized lending under the International Financial Reporting Standard 9 (IFRS 9) framework.
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
EU banks’ credit risk estimates stabilised at year-end
Weighted average corporate borrower PD across countries climbed to 2.15%
At systemic US banks, corporate default risk ebbed in Q4
Median PD of corporate portfolios down to 1.6% from 1.73%
A framework to analyze the financial effects of climate change
Starting with an expert assessment of the climate risk factors over a specified horizon, then moving to a description of the expected number of climate events and the severity of the losses if an event occurs, the authors describe a framework to analyze…
Japanese generally accepted accounting principles – CVA accounting
In April 2021, Japanese generally accepted accounting principles (JGAAP) will incorporate credit valuation adjustment (CVA) and debt valuation adjustment pricing for derivatives portfolios. With several challenges left to overcome and the deadline…
Citi’s counterparty credit risk edged higher in Q3
Risk-weighted assets for OTC derivatives, repo, margin loans jump 11%
IFRS 9 product of the year: AxiomSL
Asia Risk Technology Awards 2020
Covid policy risk hangs over bank stress tests
Banks and regulators are second-guessing the policy response to new outbreaks
Corporate default risk modeling under distressed economic and financial conditions in a developing economy
The authors create stepwise logistic regression models to predict the probability of default for private nonfinancial firms under distressed financial and economic conditions in a developing economy. Their main aim is to identify and interpret the…
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
Ratings can still sharpen credit risk picture
Study shows even the most modern default models benefit from adding credit rating information
Credit Suisse, UBS counterparty exposures ballooned in Q2
Risk-weighted assets lagged surge in EAD
Top US banks’ counterparties’ credit quality deteriorated in Q2
At Citi, exposures with a PD of 10% to 100% increased 73% quarter on quarter
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
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.
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
Citi’s counterparty credit risk charge up 38% in Q1
Probability of default of portfolio increases to 0.73% from 0.68%
Two-factor Black-Karasinski pricing kernel
Analytic formulas for bond prices and forward rates are derived by expanding existing rate models