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GARP Resources Archive

Displaying 24 results

Article

Credit Risk Measurement: Alternatives for PD-LGD-EAD on the Horizon?

February 7, 2025

Even after 40 years, the PD-LGD-EAD framework is still going strong – but models with more power and greater predictive accuracy are lurking. Though ...

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Article

Sovereign Exposures: Zero Reason for Zero Risk Weight

January 10, 2025

Despite rising geopolitical threats and evidence that sovereign debt in Europe is now volatile, banks are still allowed by regulators to treat ...

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Article Members Only

Debt Restructurings Ramp Up in Out-of-Court ‘LMEs’

November 15, 2024

Aggressive liability management exercises create conflict and can threaten lender priority.

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Article

The ECB’s Paper on Novel Risks and IFRS 9 Overlays: A Missed Opportunity

September 13, 2024

Forecasting loan loss provisions for emerging risks under the IFRS 9 accounting standard is an important and extremely challenging task. The European ...

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Article

The Stress Testing Road Ahead: How to Prevent Future Bank Failures

July 19, 2024

Today’s stress tests rely on antiquated approaches that do not consider the full spectrum of banks’ specific exposures to different macroeconomic ...

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Article

The Fed’s 2024 Stress Test: Key Takeaways

July 3, 2024

The good news is that the commercial real estate market is not projected to crater and that that large U.S. banks have enough capital to survive ...

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Article

The Rise of Conjectural Risk Management

May 17, 2024

Today, stress testing forecasts and ECL calculations are heavily reliant on guesswork scenarios that largely forego empirical data. How has scenario ...

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Article

A Modest Suggestion to Improve Stress Testing

April 26, 2024

The current process for ensuring that banks have enough capital to cover their potential losses is too reliant on conditional scenario analysis. ...

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Article

Did CECL and IFRS 9 Fix the Procyclicality Problem?

February 23, 2024

Modern reporting standards for expected credit losses are, as anticipated, more volatile than the previous incurred-loss approach. But the key ...

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Article

EU Banks Enjoy Success, But Must Stay Vigilant About Emerging Risks

February 9, 2024

European banks have done a fine job of building capital while keeping their risk exposure in check in volatile times. How have they achieved this, ...

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Podcast

Real Estate Risk in Volatile Times

November 21, 2023

Hear veteran risk manager, advisor and professor Clifford Rossi’s viewpoints on trends, threats and opportunities in the commercial and residential ...

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Article

The 2023 Banking Turmoil: A Middle-of-the-Road Crisis

November 17, 2023

This year’s regional banking fiascoes in the U.S. offered valuable lessons for risk managers, but do they measure up with the 2008 global financial ...

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Article

How Regulatory Backstop Measures Can Lead to Worse Risk Management

October 6, 2023

Whenever supervisors do not feel sure about risk measurement, they add conservatism. But the probability of default backstop the ECB has added to ECL ...

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Article

Amid Controversy over Capital Requirements, Top-Rated Structured Bonds Offer Respite

September 29, 2023

The biggest U.S. banks are wary of proposed Basel III impacts, but securitization risk weights could drop

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Article

CECL and IFRS 9: Superior Risk Management or Psychological Ploy?

July 21, 2023

Projecting expected credit losses is tricky, partly because scenario analysis is imprecise and partly because recessions do not necessarily yield ...

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Article

How Unrealized Losses Weigh on Bank Balance Sheets

May 26, 2023

Mortgage-backed securities plus other credit exposure approach total bank equity capital, according to one estimate

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Article

Credit Risk Measurement: Basel III’s External Ratings Dilemma

April 14, 2023

The rollout of Basel III in both Europe and the U.S. is on the horizon, but flaws remain in its requirements for calculating risk-weighted assets. ...

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Article

When to Change IFRS 9 Scenario Weights for ECL: A Simple Rule

March 10, 2023

Financial institutions in Europe now employ a range of scenario-weighting approaches to estimate IFRS 9-compliant expected credit losses, with little ...

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Article

Catastrophe Risk Protection: Hurricane Ian Dislocates an Already Challenged Market

December 2, 2022

A cyber cat bond is expected soon, but capital constraints may hinder market growth

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Article

Economic Misery and Bank Financial Performance

October 28, 2022

Current risk models don’t have sufficient data to account for today’s volatile markets. What’s the true impact of factors like unemployment and ...

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Article

The Expected Credit Losses Dilemma: Weighting IFRS 9’s “SICR”

October 21, 2022

Under IFRS 9, European banks today face a steep increase in their loan-loss provisions if it is determined at the time of financial reporting that ...

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Article

Are CECL and IFRS 9 Reasonable and Supportable?

September 23, 2022

Recent events, including the pandemic, have raised questions about whether the forward-looking accounting standards that are now in place for credit ...

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White Paper

Credit Default Swaps and Credit Risk Reallocation

August 6, 2021

How can investors’ exposure to credit risk be reallocated through credit default swaps? Using granular data on both debt and CDS exposures by French ...

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Podcast

COVID-19 and the Commercial Real Estate Market

August 24, 2020

The pandemic has had a dramatic impact on commercial real estate, greatly dimming the short-term attractiveness of big cities while triggering ...

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