Risk Insights Resource Center
Displaying 24 results
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 ...
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 ...
Debt Restructurings Ramp Up in Out-of-Court ‘LMEs’
November 15, 2024
Aggressive liability management exercises create conflict and can threaten lender priority.
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 ...
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 ...
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 ...
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 ...
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. ...
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 ...
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, ...
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 ...
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 ...
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 ...
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
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 ...
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
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. ...
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 ...
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
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 ...
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 ...
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 ...
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 ...
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 ...