Mortgages
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
Consumer risk appetite, the credit cycle and the housing bubble
In this paper, we explore the role of consumer risk appetite in the initiation of credit cycles and as an early trigger of the US mortgage crisis.
UniCredit sheds €10.5 billion in toxic loans
Net write-downs on all loans fell to €496 million in the quarter, down from €835 million in December, an improvement of 40%, as a result of improved asset quality
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
Libor death threatens to blow hole in hedges
Isda AGM: BlackRock, Fed stress need for fallbacks to marry up across rates universe
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
Power to the people: US bourse bets on retail rush into swaps
Eris Exchange hopes retail access to its swap futures will usher in new era of swaps for all
Swiss loans may struggle with Libor transition, warn lawyers
Lack of standardisation means fallback clauses may be unable to handle move to Saron
Soaring Fed Home Loan Bank borrowings spark systemic risk fears
Parallels drawn with Fannie and Freddie as commercial bank borrowing from FHLBs nears $500bn
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Addressing probationary period within a competing risks survival model for retail mortgage loss given default
This paper presents a novel approach to modeling retail mortgage LGD estimation.
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
Canadian CROs play down threat of mortgage exposure
Burgeoning loan portfolios no cause for concern despite Moody’s downgrades, risk chiefs claim
SSA deal of the year: Fannie Mae
Risk Awards 2017: Mortgage giant refines risk-sharing deals as political landscape shifts
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
A prudent loss given default estimation for mortgages
The author of this paper proposes a prudent methodology to correct for potential biases in LGD estimations due to historical price appreciations, appraisal biases and wear-and-tear or potential damage to the house.