Early Warning Signals - Best practices for credit risk reporting
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We looking to improve our credit risk reporting, having received regulatory on the lack of reporting of Stage 1 borrowers that are weaker than usual in our credit risk reporting
Whilst we have SICR criteria and a rudimentary EWS, we're also looking for guidance how specifically in the risk report to display and explain:
- Besides overviews on the EWS, what to include into the regular reports
- Any focus on non-EWS metrics (and reasoning around why they are not in the EWS but still reported)
- Name level listings of flagged clients? If so, what are the thresholds on borrower size?
- For above - what are the follow-ups once in the report, i.e. what are the criteria so that it is not included in the next one (besides the EWS not triggering again on a flagged client)
- Any broader implications (escalation to credit risk mgmt. / board risk committees)?
We would be grateful for any inputs on the above, or any other pointers on best practices. Many thanks in advance!