Credit risk
A numerical simulation approach to study systemic risk in banking systems
The authors introduce a simple numerical algorithm to study banking systems subject to credit risk. The algorithm is based on a model that is completely defined by only two parameters.
The cost of hedging XVA
HVA is framed consistently with other valuation adjustments
SocGen’s STS securitisations hit €9 billion in 2020
‘Simple, transparent and standardised’ exposures had half the capital charges of the rest of the book
At 40% of EU banks, credit risk own-funds deviate from benchmarks
Eleven banks lowballed capital requirements without justification in latest exercise
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Risk density of Santander’s securitisation book hits five-year high
Synthetic securitisations helped cap credit RWAs last year
Deutsche Börse eyes quantum computing
Pilot application to model enterprise risks cuts computation time from 10 years to 30 minutes
Credit migration: generating generators
A stochastic time change helps the modelling of rating transition
At systemic US banks, corporate default risk ebbed in Q4
Median PD of corporate portfolios down to 1.6% from 1.73%
Riskiness of internationally-active UK banks edged up in 2020
Risk density across top five UK banks fell year on year
EU banks expect OTC trading conditions to tighten
Credit conditions had eased in Q3 and Q4 2020, but were expected to get tougher in Q1
Swaps, repo counterparties of US banks grew riskier in 2020
At Citi, counterparty credit RWAs for OTC portfolios increased 51%
IFRS 9 relief added £8bn to UK banks’ capital buffers in 2020
Lloyds’ CET1 ratio reaped a 120bp benefit
High-earning banks set aside more Covid provisions – BIS
Provisions across 70 banks in H1 2020 were almost quadruple those taken in H2 2019
Ailing loans added $15bn to StanChart’s RWAs in 2020
Effects of credit deterioration offset by disposals, portfolio reductions
Research on listed companies’ credit ratings, considering classification performance and interpretability
This study uses the correlation coefficient and F-test to select the initial features of a credit evaluation system, and then a validity index for a second selection to ensure that the feature system has the optimum ability to discriminate in determining…
Beyond the contract: client behavior from origination to default as the new set of the loss given default risk drivers
In this paper, we expand the modeling process by constructing a set of client-behavior-based predictors that can be used to construct more precise models, and we investigate the economic justifications empirically to examine their potential usage.
NatWest cut markets unit RWAs by almost one-third in 2020
NatWest Markets now makes up 16% of group RWAs
Model reviews imposed capital charges on top EU banks in Q4
Societe Generale incurred a -36bp hit to its CET1 ratio due to Trim
NAB’s bad loans ratio climbs as Covid moratoria expire
Australian lender sees percentage of past due and impaired loans hit 1.18%
State guarantees saved UniCredit €8bn in RWAs through 2020
Italian lender has €20.8 billion of government-backed loans on its books
A hybrid model for credit risk assessment: empirical validation by real-world credit data
This paper examines which hybridization strategy is more suitable for credit risk assessment in the dynamic financial world.
Non-performing loans piled up at Japan megabanks in 2020
Bad loan ratio climbed 10 basis points on average across MUFG, SMFG and Mizuho
Covid hikes BNP Paribas’ cost of risk to decade high
Loan-loss provisions for 2020 totalled €5.7 billion