Impairment Trends: Consensus Point-in-Time Curves
The COVID-19 crisis has highlighted how sensitive banks’ impairment numbers are to changes in the economy. In a new report, we use aggregated PIT PD curves to look at the impact COVID-19 has had on banks’ forecasts of credit risk and impairment.
Point-in-Time PD Curves: IFRS9 / CECL Applications
In the era of increased regulatory scrutiny, banks and other lenders have a growing need for Point-in-Time default risk estimates to satisfy IFRS9 and CECL accounting standards. However, the methodology and construction of these estimates vary significantly between different institutions. These institutional differences mean a simple impairment calculation for a standard loan could potentially vary […]
Crowd-Sourced Credit Transition Matrices
Whitepaper // No.7November 2016Transition Matrices Download the PDF “Crowd-Sourced Credit Transition Matrices“ The latest CECL and IFRS9 accounting rules require banks and corporates to estimate potential losses over the entire life of a loan. Transition matrices can provide considerable insight into the likely pattern of losses over various time horizons. Credit transition matrices (“CTMs”) are […]
CECL And IFRS9 Fuel Demand For Credit Data
Banks are gearing up for major accounting changes over the next few years. Credit risk and modelling teams are now working with accounting policy divisions to draw up implementation plans for Current Expected Credit Loss (CECL: US) and International Financial Reporting Standard 9 (IFRS9: ex-US). Details can be found here on the ABA website and here on the […]
Thomson Reuters, Data Explorers Vets Found Ratings Analysis Firm
Credit Benchmark, a new startup that will provide aggregated analysis of trading firms’ proprietary credit ratings and risk assessments, has begun enlisting 10 early-stage contributors for a proof-of-concept phase, ahead of a production launch slated for the first quarter of next year. The vendor will collect proprietary credit rating data produced in-house by financial firms, […]
