Basel Committee on Banking Supervision (BCBS)
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
Dealers predict ‘softening’ of NSFR in Europe
Some banks' pricing already assumes rule will be watered down
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
US-European rift deepens on leverage ratio
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Creating business value: Measuring the return of improved data management
Sponsored survey analysis: Oracle Financial Services
Basel shadow banking rules leave industry in the dark
The step-in risk concept may need a total overhaul to be fit for purpose as the UK goes its own way
Indecent exposure: Fed limits threaten swaps liquidity
Unworkable due diligence rules may prompt G-Sibs to cut single counterparty exposures below 5%
Even for me, AMA models are too complicated
The AMA doesn’t make any sense – but the idea of a single, simple equation does, writes Ruben Cohen
Time to gear up for MVA
Banks must be prepared for the looming rise of non-cleared margin requirements
Banks told to seize moment to devise new op risk charge
Banks should “get clever and develop their own model” in response to SMA, says UK bank risk manager
Basel arbitrage warning leaves dealers guessing
Banks told to avoid trades that offset regulatory adjustments, but details are thin
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach
Weighing criticism of the SMA reveals a lack of balance
Operational risk managers are becoming unusually excitable, with some justification
US regulators favour September margin deadline
September 1 roll-out would threaten bilateral swap trading chasm between EU and US
Banks reject Basel’s IRB data shortage claim
Internal models remain more accurate than standardised approaches, say industry responses
Funding flap: dealers slam NSFR impact on derivatives
Banks fume over “extremely punitive” funding costs from liquidity rule
Interview: Iosco’s Andrews stresses CCP resilience and recovery
CCP resolution spells regulatory failure; guidance to follow on PFMIs and CCP stress-testing
European regulators resist Basel risk models clampdown
EU authorities express concern over move to less risk-sensitive capital requirements