Risk Quantum/Raiffeisen Bank International (RBI)
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes
RBI’s op risk charges climb 22% on input-series update
Recalibration reverses savings from discontinuation of AMA a year earlier
PacWest leads banks on NII growth decline
Deutsche Bank bucks positive European trend while NatWest leads UK negative growth in Q3
Share of op risk modelling falls at European banks
Less than half of analysed dealers rely on the AMA, as introduction of new standardised approach looms large
RBI’s modelled market charges surge 31% as SVAR spike
Widespread volatility in first half of year inflated stressed gauge despite 2022 wind-down of rouble positions
RBI reverts to standardised op risk modelling
Austrian bank hopes switch away from AMA to temper requirements’ sensitivity to legal provisions
European banks’ CVA RWAs up €2.2bn in Q3
Banco Sabadell, Intesa Sanpaolo and ING Bank reported largest quarterly increases
RBI’s VAR gauges hit new record
Banking and trading book risk rose in Q3 amid shifts in risk factor mix