Internal models
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
BPI says SR 11-7 should go; bank model risk chiefs say ‘no’
Lobby group wants US guidance repealed; practitioners want consistent model supervision and audit
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
Apple credit card acquisition pushes JP Morgan above Collins floor
Modelled RWAs overtake standardised output for first time since Q3 2016
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
Wells Fargo bucks peers with rise in CCP default fund contributions
Heavier clearing drives bank’s balance to new high in Q3
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor
S&P shutters NMRF solution amid audit questions
Vendors face adverse economics due to low number of IMA banks and prospects of regulatory easing
Has the Collins Amendment reached its endgame?
Scott Bessent wants to end the dual capital stack. How that would work in practice remains unclear
Nykredit’s climate-sensitive exposures jump to Dkr67bn in H1
Conservative methodology and Spar Nord acquisition triple bank’s climate risk
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models