Basel Committee on Banking Supervision (BCBS)
FRTB: Basel guidance on backtesting frustrates dealers
Dealers blast “illogical” carve-outs for backtesting exceptions
The problems with conduct risk loss aggregation
Aggregation of conduct risk losses is recommended practice, but it can seriously distort capital calculations
Crowd trouble: the FRTB’s war on basis risk
FRTB will lead to build-up of risks around liquid benchmarks, dealers warn
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
EC gold-plating of FRTB raises risk of global divergence
Some interpret draft CRR II changes to NMRF framework as raising the bar for compliance
Credit portfolio manager of the year: BNP Paribas
Risk Awards 2017: Guarantees and insurance help French bank cut RWAs by €3bn – and limit use of CDSs
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
FRTB’s risk factor framework is more punitive than it seems
Regime’s constraints may mean risk factors drop in and out of modellability far more frequently than dealers think
SMA data shortfalls ‘make op risk review a must’
New research adds to criticism of proposed op risk capital method
Basel III completion date pushed back
Disagreement on output floors continues
Review of 2016: turn and face the strange
Post-crisis reform has caused upheaval, but gave recent years a sense of direction; in 2016, that was missing
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
Non-cleared margin – a timeline
Milestones in the development of margin requirements for non-cleared trades
FRTB survey: internal model approval tops list of bank fears
Two years on from its devising, chunks of the new market risk framework remain 'unworkable'
FRTB survey: banks fear high bar for P&L test
One bank expects all of its desks to fail the P&L attribution test
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
EU could impose negative rate shocks via IRRBB rules
Banking Book Risk Summit: EBA guidance on shocks is “outdated”, says ECB official
Bank treasuries grapple with IRRBB data requirements
Banking Book Risk Summit: Data from recent zero rates era not a reliable behavioural indicator
IFRS 9 to drive regulatory capital volatility, experts warn
Banking Book Risk Summit: Expected credit loss accounting will be subjective and confusing
The impact of IFRS 9 on earnings volatility and uncertainty in the supply and demand for regulatory capital
Sponsored webinar: Moody's Analytics
European NSFR revamp could save banks billions in funding costs
Commission expected to ease pressure of liquidity ratio on derivatives positions when it unveils CRD V proposals
Non-cleared margin rules confuse Asian private banks
Exotic OTC products for Asian high-net-worth investors could be under threat