Credit risk modelling
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
‘Big Five’ Canadian banks post C$6.6bn of loan-losses in Q3
PCLs fell 36% quarter-on-quarter
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
US banks’ corporate default indicators worsened in Q2
Median probability of default increases 38bp to 1.7% on the quarter
Systemic eurozone bank provisions hit €11bn in Q2
ING sees loan-loss charge double in Q2
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Corporate, SME loans to take brunt of Covid shock, say EU banks
Though credit outlook has darkened, banks expect to increase lending overall
Dark Covid outlook pumps up Lloyds’ loan-loss reserves
Base case for 2020 now projects UK GDP to drop 10%
Coronavirus crisis sours €8bn of Santander’s loans
Loans moved into IFRS 9 stage two to reflect significant increase in credit risks
Relief for credit losses buoys Barclays’ capital ratio
IFRS 9 transitional measures added 35bp to CET1 ratio
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions
Stuart Lewis, Deutsche’s survivor, confronts Covid-19
CRO talks loan reserves, VAR breaches, and the lessons of a lurid past
Systemic US banks put aside $35bn for credit losses in Q2
JP Morgan takes a $10.5 billion provision charge alone
Loan-loss provision charges nearly triple at Wells Fargo
Loss reserves for credit cards spike to 10.49% of outstanding loans
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
Greek, Italian banks lead EU on IFRS 9 capital relief
Intesa Sanpaolo saw CET1 capital add-in of €2.6 billion
Corporate loan default risk spiked at US G-Sibs in Q1
Median probability of default increases 17bp to 1.39% on the quarter
‘Big Five’ Canadian banks’ loan-loss charges quadruple
Reserves for performing loans increase 32-fold quarter-on-quarter
Commerz tags €5bn of CLOs as hard-to-value
Buyers’ strike makes mark-to-market pricing impossible for structured credit
Systemic eurozone banks take €10bn in loan-loss provisions
Santander takes a whopping €3.9 billion out of income
Credit models at odds with standardised approach on Covid
Increase to advanced approaches RWAs far outpaces growth to standardised
Capital overhaul depresses Crédit Agricole’s solvency ratio
Wind down of “Switch” mechanism may have come at a bad time for the French lender