Accounting
It’s not easy being green: why the FX market is lagging on ESG
And what’s being done to fix it
HKMA preparing prescriptive climate stress test for 2023
Regulator plans granular scenario specifications, considers Pillar 2 capital measures
FTX failure resets US crypto legislative programme
Lawmakers expected to seek stronger customer protection; industry wants flexibility for DeFi
BNY, State Street took $6.5bn fair-value hit to bonds in Q3
Eroding prices of RMBSs and govies keep widening unrealised losses
Bailed-out Uniper suffered €14bn derivatives markdown in H1
Company cut value of gas forwards contracts due to risk of reduced deliveries from Russia
Data-driven wrong-way risk
A calculation method for regulatory CVA wrong-way risk based on credit and exposure is introduced
Rabobank’s shaky loans up 35% on emissions cut plans
Bank says Dutch government proposal to reduce pollution from livestock farming risks making loans unviable
Allianz, Generali post €52bn in fair value losses in H1
Bond portfolio values crash as equities tailwinds fades
‘Are we nearly there yet?’ Banks navigate ESG loan accounting
Lenders ask standards boards for guidance on how rules should be applied
Fair value gains give JP Morgan DFAST edge
Bank was only one to record bigger capital lift from AOCI by end of test’s horizon
Charles Schwab rejigs bond books as it braces for AOCI reintroduction
Dealer might soon lose ability to waive mark-to-market swings from capital
ING takes €1.6bn capital hit on Russia exposures
Bank adds €834 million of provisions and takes €9 billion of new credit RWAs
Fair-value losses derail payout plans at State Street, BNY
Hit to capital adequacy from available-for-sale book forces rethinks on rate sensitivity
Adapting to the new normal
The current interest rate environment and need to adapt to changing technology and regulatory mandates is keeping insurers on their toes, Nakul Nayyar, head of investment risk at Guardian Life, tells Risk.net
Risk analytics to the rescue
Cyber security remains a challenge for insurers worldwide, according to Ron Harasym, head of risk analytics, enterprise risk management (ERM) at Protective Life Insurance Company
UBS sees $20bn RWA impact from Basel III
Increase expected to materialise by 2024 following the implementation of new rules on FRTB, CVA, credit and operational risk
New model simplifies loan-loss forecasts. Some say it’s too simple
Modelling approach devised by Commerzbank quant promises to ease computational burden, but may not suit complex portfolios
EU banks with thinnest buffers tap heftiest IFRS 9 capital add-backs
EBA data shows lenders whose capital benefitted most from transitional loan-loss relief also have skinniest CET1 capital ratios
The role of management accounting practices in operational risk management: the case of Palestinian commercial banks
This paper follows an exploratory, descriptive approach to investigate the role that management accounting practices plays in managing operational risks in the Palestinian commercial banking sector.
Credit risk & modelling – Special report 2021
This Risk special report provides an insight on the challenges facing banks in measuring and mitigating credit risk in the current environment, and the strategies they are deploying to adapt to a more stringent regulatory approach.
Level 3 assets at global systemic banks down 36% since 2014
Hard-to-value holdings down sharply over the past six years, but pandemic threw spanner in the works at some banks
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
BofA grows securities book, but shuns US Treasuries
The bank adds $78.7bn in Q2, mostly in the held-to-maturity book
Covid-forborne EU loans sour faster as more exit moratoria
Exposures classified as stage two rose 37% in the first three months of 2021