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European regulators turn up the heat on IFRS 9 model overlays

After warnings from EBA and BoE, risk managers urge ‘soul-searching’ on post-model adjustments

International financial reporting standardEuropean banking authorityBank of england boeBasel committee on banking supervision bcbsEuropean banking authority ebaPrudential regulation authority praCredit riskCredit risk modellingIfrs 9Oss given default lgdModel riskPoint in timeRobability of default pdHrough the cycleNternal ratings based irb approachRisk management

Emerging lessons from the current credit risk cycle

Experts discuss the challenges of higher inflation and interest rates, the impact on defaults, innovations in credit risk modelling and predictions for 2024

Steve borasNikko americaStewart websterChris mannUnion bankColumbia universityCitizens bankOlive northS amp pCredit riskInterest ratesDefault riskCredit risk modellingRisk management

Climate capital outlook unclear as EBA rejects green risk weights

European regulator suggests climate change must be factored into existing risk categories

European banking authorityBasel committee on banking supervision bcbsEuropean banking authority ebaDvanced measurement approach amaCapital adequacyCapital bufferClimate changeConcentration riskCredit riskCredit risk modellingInternal modelsNternal ratings based irb approachOss given default lgdMacroprudential supervisionMonte carlo simulationRobability of default pd

Can CRE credit risk models cope with hybrid working?

As US office use changes, modellers deploy judgement overlays and alternative data to keep up

San franciscoUnited statesUs bancorpUnion bankGrand old ladyCalifornia streetUnion bankFederal deposit insurance corporation fdicPnc bankNited states usNorth americaReal estateCredit riskCredit risk modellingRobability of default pdOss given default lgd

The Fed s stress test models are inaccurate Something has to change

First step for the US regulator to improve its bank loss forecasts would be to open up its models to public scrutiny, argue two banking industry advocates

Federal reserveNited states usCapital requirementsCredit riskCredit risk modellingMarket riskOperational riskStress testingStress scenarios

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