Credit risk modelling
Over 2019, loan-loss reserves up 50% at RBC
Percentage of provisions to total loans up to 0.32%
Appetite for corporate credit risk grows at EU banks
Total credit RWAs increase 3.2% from end-September 2018 to end-June 2019
Loan-loss provisions climb C$40m at Scotiabank
Canadian lender reports provisions 28% higher than in Q3 2018
Banks feel chill of exposure from Fed’s SCCL
US rules on counterparty credit limit pose challenges for risk and regulatory teams despite proposed delay, says expert
CECL prompts loan sales, hunt for insurance
Risk USA: ‘CECL hogs’ could deplete capital ratios and be a drag on earnings
Loan appetite pushes credit risk higher at Goldman Sachs
Standardised credit RWAs for loans up 19% since end-2017
Credit model update holds down loss provisions at Deutsche
German lender saved €167 million through model refinements
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
Hong Kong turmoil pushes HSBC’s credit loss charge higher
Third quarter expected credit loss charge was 62% higher than in Q2
CECL could force Capital One’s loss reserves up 40%
Loss allowances could jump to almost $10 billion on January 1, 2020
Europe’s new default rules: a defined benefit?
EBA’s single definition of default will have multiple effects for credit risk management, say consultants from PwC
Nordea builds loan-loss provisions following ECB scrutiny
Net loan losses jump to €331 million in Q3
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
At large US banks, credit loss reserves up 12% in Q3
JP Morgan took $1.5 billion of provisions in the third quarter alone
Borrower default estimates continue to improve at EU banks in Q2
Greek corporate creditworthiness improves the most of 39-country sample quarter-on-quarter
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
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Credit risk grows share of big EU banks’ RWAs
Deutsche Bank leads the field, with credit RWAs increasing share of total by 294bp year-on-year
Among Canadian banks, credit provisions leap highest at BMO
Aggregate provisions for credit losses up 0.7% quarter-on-quarter at “Big Five”
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
The efficiency of the Anderson–Darling test with a limited sample size: an application to backtesting counterparty credit risk internal models
This paper presents a theoretical and empirical evaluation of the Anderson–Darling test when the sample size is limited.
Saudi bank merger lowers RBS’s credit RWAs
Standardised credit RWAs fall 23% quarter-on-quarter
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2