Credit risk modelling
Erste, RBI top up provisions with €258m in overlays
Austrian lenders remain reliant on model supplements as energy squeeze looms
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
US Bank cautions on regulators’ TLAC proposal
Risk USA: CRO also says bank is readying credit risk models and business plans for recession
A-IRB to lose credit risk reach under Basel III
Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently
EU banks add overlays as crises evade modelling
Lenders buttress provisions against unpredictable fallout from Russia's invasion of Ukraine
ECL model forecasts are off-target, researchers find
Anticipated slowdown will be first major test for new generation of expected credit loss models
Holistic credit risk assessment and the goal of safe unbiased modelling
In this Asia Risk webinar, experts in artificial intelligence (AI) and machine learning examined the growing applications being seen in the field and their merit in credit risk modelling
Banks temper credit loss models by editing Covid narrative
Faced with geopolitical chaos and signs of recession, expected credit loss models need to adapt fast
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
Standard risk measures low-balled Archegos exposures
When a potential blow-up doesn’t show up, what use are VAR, SA-CCR and stress tests?
The evolution of liquidity risk management
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Modeling credit risk in the presence of central bank and government intervention
In this paper a simple approach for including central bank and government intervention in credit models is developed and illustrated using the Fed’s data for the CCAR 2021 stress test.
Regulatory straitjacket adds $7bn to Danske’s credit RWAs
Remedials to improve internal models push total RWAs up 5%
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
Incorporating small-sample defaults history in loss given default models
This paper proposes a methodology for estimating loss given default (LGD) that accounts for small default sample sizes.
EBA warns banks over loan-loss model tinkering
Senior executive says methods of adjusting IFRS 9 models to “smooth” outputs should be investigated
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Accelerating the evolution of credit decisioning and modelling
Anthony Mancuso, director, global head of risk modelling and decisioning at SAS, explains the importance of developing a fully capable credit modelling lifecycle to empower non-specialist personnel, and offers insight into its own solutions to this end,…
Forecasting consumer credit recovery failure: classification approaches
This study proposes an advanced credit evaluation method for nonperforming consumer loans, which may serve as a new investment opportunity in the post-pandemic era.
NLP and transformer models for credit risk
News feeds are factored into models to predict credit events
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Explaining credit ratings through a perpetual-debt structural model
This paper calibrates a perpetual-debt structural model (PDSM) by using Moody’s historical credit ratings.
Morgan Stanley sets aside $73m for credit losses
Bank returns to stash reserves triggered by one facility in Q2
From one extreme to another: Covid upsets loan models once more
Unusual economic slumps tripped up models in 2020. Now, they are struggling with fast recoveries