Credit risk
EBA: more climate risk supervisory reporting is coming
Official anticipates effort to identify climate impact on internal models, concentration risk
Barclays frees up £4.5bn RWAs after overissuance clean-up
The bank unwound hedges that safeguarded its buyback of mis-sold US notes
Risks of long-term auto loans
The authors investigate the borrower risk factors, delinquency rates, yield curves, and interest rates of long-term auto loans.
Risk contagion and bank stability: the role of credit risk and liquidity risk
The authors put forward a systemic risk measurement model and measure systemic risk in China's banking sector for the period 2013-18.
HSBC’s quarterly UK provisions rose 111% in Q3
Uncertainty around interest rates and political stability reflected in model overlays
EBA to scrutinise banking book models amid macro turmoil
Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models
Quantification of model risk with an application to probability of default estimation and stress testing for a large corporate portfolio
This paper discusses the building of obligor-level rather than segment-level hazard rate corporate probability of default models for stress testing.
Some euro banks modelled lower mortgage risk in H1
Italian and Belgian lenders reported steepest drops in risk density despite recessionary threat
Hong Kong, India, Turkey lag behind on Basel III framework
Only Canada, Japan and Saudi Arabia ready for full implementation as January deadline approaches
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 tweaks set to temper Basel III capital hike by a third
Changes to required capital for credit risk expected to be main driver behind average reduction
European banks set for 17.5% capital hike under Basel III
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
EBA eyes top-down stress test for credit risk
European version of CCAR is off the table, but more projections are likely to be modelled by regulator
Credit risk management solution of the year: Moody’s Analytics
Asia Risk Awards 2022
PGIM increases credit hedges as funds add bought index CDSs
Counterparty Radar: Morgan Stanley added market share, but Goldman stayed top among dealers
Europe’s countercyclical buffers buck recession trends
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
A chilly reception for climate risk capital
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
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
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
At some Chinese banks, NPL growth outpaces allowances
Bank of Beijing, Bank of China, China Merchants Bank and Industrial Bank see bad loans climb faster than set-asides
Distance to default based on the CEV–KMV model
The author applies the CEV process to the KMV model in order to assess default risk, finding that this method improves forecasting ability.
BoComm’s CET1 ratio drops to lowest since 2013
RWAs jumped 8% in the first half, dragging capital adequacy down 63bp
An effective credit rating method for corporate entities using machine learning
The authors propose a new method to design credit risk rating models for corporate entities using a meta-algorithm which exploits information embedded in expert-assigned credit ratings to rank customers.