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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

SEC expected to protect CRT in conflicts of interest rule

Decision could come as early as today; high hopes for credit risk transfer exemption

Christopher hornMayer brownExchange commissionGary genslerUs congressSecurities and exchange commission secOffice of the comptroller currency occFederal reserveFederal deposit insurance corporation fdicNited states usCredit riskSynthetic creditConflicts of interestCapital requirementsRedit risk capitalSset backed securities abss

Goldman most threatened by Fed s rejig of modelled capital charges

End of credit risk modelling and scaling up of SCB’s role could tip six US banks below minimum requirements

Common equity tierRisk quantumBank of americaBny mellonGoldman sachsNorthern trustJp morganMorgan stanleyState streetWells fargoFederal reserveNited states usBasel iiiCredit riskCredit risk modellingRedit risk capital

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

ING s Russia loans sour five times faster than UniCredit s

Risk density of Dutch bank’s Russia portfolio soars from 54% to 229% during 2022

Wing bankKing groupCountercyclical bufferCredit riskRedit risk capitalCredit risk modellingXposure at default eadIsk weighted assets rwasRisk weightsRussia ukraine conflictIsk quantum

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