Risk Quantum
European banks junk op risk modelling
Barclays and BNP Paribas move to standardised approach in the second quarter
US big banks shrink systemic footprints in Q2
JP Morgan moves down into 3.5% capital surcharge bucket under Fed G-Sib methodology
CVA capital at top UK banks falls £260m in H1
HSBC led the way with a 38% reduction, followed by RBS with a fall of 35%
CIBC the outlier as ‘Big five’ loan-loss ratios improve
CIBC’s PCL ratio stood at 0.29% at end-July, up from 0.24% the previous quarter
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
UK derivatives values grow on forex activity
Foreign exchange contact values leap £0.4 trillion in second quarter
Liquidity risk of non-systemic US banks differs from G-Sibs
PNC, US Bancorp, Capital One cannot rely on cash inflows in a market panic
Bank of America grows derivatives, bucking G-Sib trend
Total derivatives exposures jumped 4.2% quarter-to-quarter to $299.4 billion
BMO’s loan loss reserves climb
Canadian bank reserves increase C$26 million quarter to quarter
EU banks slash default risk estimates for corporates by 30%
Probabilities of default fall on average across 39 countries
Scotiabank acquisitions come with risks attached
The bank’s RWAs jumped 9.4% in the third quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years