EU banks' incremental risk charges soared in volatile H2
Charge for traded-bond default and downgrade risk hit ten-year high at BNP Paribas
Source: risk.net
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Deutsche's IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
Source: risk.net
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Souring Russia King Group European Banking Authority Eba Isk Weighted Assets Rwas Credit Risk Russia Ukraine Conflict
Source: risk.net
Calibration of rating grades to point-in-time and through-the-cycle levels of probability of default
The paper argues for the need for and importance of the dual calibration of a probability of default (PD) model (ie, calibration to both point-in-time and
Point In Time Hrough The Cycle Robability Of Default Pd Model Calibration Maximum Likelihood Estimation Ating Migration
Source: risk.net