Latest Risk Quantum
ABN Amro ditches op risk modelling
Dutch lender latest EU bank to switch to the standardised approach ahead of SMA introduction in 2025
China G-Sib scores tell story of lenders’ decade-long rise
Chinese banks capture far larger share of systemic risk than in 2013
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
Risk Quantum database
Readers of Risk Quantum have access to some of the datasets that sit behind our stories – not just the segment of data that is the focus for the story, but the full time series, for the full population of covered firms.
The available data covers more than 120 banks and over 100 risk metrics.
G-SIBS 2023
Citi propels G-Sibs’ OTC derivatives notionals to nine-year high
Bank leapfrogged Goldman as fourth-largest derivatives dealer after 20% jump over 2022
Substitutability cap spares JPM, Citi higher Basel G-Sib surcharges
Stalled framework review by Basel Committee benefits world’s largest bank for 10th consecutive year
Most G-Sib indicators hit all-time highs in tumultuous 2022
Trading volumes and payment activity among fastest-surging indicators
UBS, three Chinese banks face higher capital surcharges
Credit Suisse and UniCredit dropped from G-Sib list in latest systemic risk assessment
BASEL III ENDGAME
Adjusted for AOCI, ratios at five regional banks fall short
Impact of reinclusion on CET1 capital ratio would trip up Truist, Ally and others
JP Morgan, BofA say Basel III plan could wipe out capital cushion
Banks forecast $82 billion cumulative hike in capital requirements from Fed proposals
Five US banks add $7bn in unrealised losses in Q3
Deductions at JP Morgan and Wells Fargo surge by more than $2 billion each
Wells Fargo has thinnest TLAC headroom globally
Bail-in funds sat 8% above required amount at end-June, smallest gap among the 25 banks subject to the standard
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