Netherlands
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
The race to offload the world’s biggest pool of assets
Specialist insurers on both sides of the Atlantic expect a bumper post-Covid second half of 2021
ABN Amro’s market risk charge grew 54% over Q1
Dutch bank hit with higher VAR and SVAR multipliers
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
ING takes capital hit for lowballing loan-loss provisions
NPE coverage ratio fell over Q4
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
ING’s op risk charge jumped €228m in Q3
Op RWAs had been falling since Q3 2019
Dutch banks seek quantum edge for stress tests
ABN, ING and Rabobank working together; US quantum developer seeks patent for CCAR
AFM seeks to ‘level playing field’ for venues and vendors
Dutch regulator suggests some liquidity aggregators should be classified as OTFs
Mega-hedges and generational strife at PGGM
Buy-side risk survey: for Dutch pension giant, battle between young and old shaped response to March mayhem
ABN Amro crushes CVA charge with index hedges in H1
Risk-weighted assets for CVA drops 48% in six months to end-June
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
Eurex passes volatility test with flying colours
Eurex explores how Covid‑19 volatility across the industry has tested market participants’ resilience, and how the central counterparty itself has proved its credentials as a reliable and sustainable euro liquidity pool
Why Asian firms expect a major systems and data overhaul
In this feature, Bing Li, head of Asia‑Pacific, and Steffan Tsilimos, global head of interest rate derivatives products at Bloomberg, explore the implications of the Libor transition on the Asia markets and the broader market impact of the transition
Concerns roil prop clearing waters in wake of ABN losses
State-backed lender insists few clients have defected – but sharks circle, post-Parplus
Count them in? Big US banks mull PCAF carbon standard
BofA, Citi and Wells Fargo looking to adopt emissions standard popular with EU lenders
Six VAR breaches at ABN Amro in Q1
Market risk capital charge climbs 57% in response
Aegon, Allianz Solvency II ratios diverge under coronavirus stress
Aegon cites volatility adjustment for buoying capital position through the crisis
ING hit by €92m XVA loss
Credit trading business tagged for trading losses
ICAAP/ILAAP – Unlocking business value from capital and liquidity assessment
Regulators consider banks’ internal capital adequacy and assessment process (ICAAP) and internal liquidity adequacy assessment process (ILAAP) important tools in managing risk. The European Central Bank’s (ECB’s) updated guidance – which came into effect…
Model flaws continue to dog ABN Amro
Trim added €10 billion of risk-weighted assets in 2019
Model review adds €13bn to ING’s RWAs
Trim effects projected to raise CET1 requirement by at least €600m
Quant Guide 2020: Erasmus University Rotterdam
Rotterdam, Netherlands
Quant Guide 2020: University of Amsterdam
Amsterdam, Netherlands