Accounting
Fishing for Sifis: row over Nobel laureate’s risk model
Engle’s tool for ranking risky firms is one of many that are dividing industry, academics and regulators
BAML and Morgan Stanley swaps drop $186bn on VM change
At least seven banks now using settled-to-market treatment for variation margin
Cecl pitting risk managers against accountants, says quant boss
Banks are ‘all over the place’ on modelling expected credit losses, says Regions’ Maglic
US hedge accounting changes could spur small bank swaps boom
Banks eye opportunities to claim hedge accounting treatment for fixed-rate portfolios and callable debt
All MVA needs is a first-mover
Fair value adjustment for initial margin should be reflected in accounting statement
Insurance accounting shake-up puts risk centre stage
IFRS 17 will create a closer link between insurers' risk management and P&L volatility
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
FRTB could hit syndicated loans, banks fear
Accounting classification would lump assets into regulatory trading book
Banks mull dedicated IFRS 9 capital buffers
Volatility of loan-loss provisioning from new accounting standard demands additional own-funds protection, say banks
What is the economic value of FVA?
To end the funding valuation adjustment debate, this key question needs to be answered
Insurers’ losses shine light on swaps accounting
FASB seeking to iron out swaps mismatches that hit MetLife, Manulife and others
Three Japanese banks consider new CVA approach
Industry working group formed to discuss introducing accounting adjustment
Stress testing under IFRS 9: a field guide
Higher volatility of loan loss provisioning will complicate financial planning and hit capital
Basel set to decide on capital relief for accounting changes
Phase-in to IFRS 9 and Cecl needed to avert "a dramatic overnight drop in regulatory capital", say auditors
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
UK banks under pressure to use IFRS 9 in stress test
Banks unable to calculate impairments under extreme scenarios must answer to regulator
IFRS 9 to drive regulatory capital volatility, experts warn
Banking Book Risk Summit: Expected credit loss accounting will be subjective and confusing
Auditors: the extra line of defence
If CDS skew spikes, some banks may be thankful for conservative accountants
Time is tight: Implementing the IFRS 9 three-stage approach
Sponsored interview: Oracle
New accounting rules expected to hit US banks hardest
FASB’s Cecl rule could mean loss provisions for loans are three times higher compared with IFRS 9
Mind the Gaap: US banks brace for $50–100bn capital hit
New loan loss accounting regime could shrink US banks' Common Equity Tier 1 ratios by 25–50bp
Basel CVA bombshell widens gulf with bank accounting
Dealers face conflicting incentives and capital hike after internal models are blown away
Accounting – a quant's job?
Quants have a new interest - developing accounting frameworks
Capital and funding
Quants propose KVA and FVA accounting framework based on Solvency II regulation