Basel Committee on Banking Supervision (BCBS)
UK repo decline sparks NSFR tussle in Europe
BoE and EC concerned about repo liquidity, but Basel Committee unlikely to budge
FRTB: a work in progress
Banks cannot wait for clarification but must forge ahead
Regulations, sensitivities and adjoints: Using AAD for FRTB and FRTB-CVA
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Land of confusion: FRTB and the calculation burden
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No way out: The road to FRTB compliance
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FSB holds too much sway over US regulators, say Republicans
Lew faces questions in Congress over FSB impact on US banks and markets
Large and complex banks face LCR reporting migraine
Repo, collateral and legal entities pose obstacles to liquidity reporting, say panellists at event
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
European NSFR ‘will change’, say HSBC and Deutsche Bank
Conference hears claims of an EC change in the treatment of derivatives
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Liquidity stress testing ‘essential’, says ECB supervisor
Supervisor warns conference banks will need to shape up their Ilaap responses for 2017
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
Non-cleared margin rules unsettle Asian booking hubs
European banks reluctant to rely on complicated exemptions for inter-affiliate trades
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Non-cleared margin rules put spotlight on Blazer market hub
Trade and model mismatches will be key tests for vital margin call service
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Risk managers wary of op risk securitisation
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
The three lines of defence: a health warning
Effective risk management is more important than what your organisational chart looks like
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
Three lines of defence model comes under attack
Operational risk managers say idea is too formalised and beset by implementation challenges
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
EBA connected counterparty plan raises compliance jitters
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard