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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

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

Weather, or not: is climate risk just part of credit risk?

Practitioners divided on whether climate risk can fit into existing credit risk weights

Basel committee on banking supervisionBasel committeeBanking supervisionBank of england boeFitch ratingsBasel committee on banking supervision bcbsAssociation for financial markets in europeNited states usCapital requirementsClimate changeIsk weighted assets rwasRobability of default pdOss given default lgdInternal modelsStandardised approachesCredit ratings

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

Norinchukin s credit RWAs up 31% on early Basel III opt-in

Bank’s standardised charges surge 19-fold following overhaul of models’ scope and parameters

Norinchukin bankThe norinchukin bankFinancial services agency fsa japanStandardised approachesCredit riskCredit risk modellingRedit risk capitalBasel iiiCapital floorDvanced internal ratings based approacha irbNternal ratings based irb approachOundation internal ratings based approachf irbCredit ratingsRobability of default pdOss given default lgdXposure at default ead

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