Standardised capital has become the binding constraint for all US G-Sibs bar Goldman and BNY Mellon
This paper proposes an approach, called the loss distribution approach with segmented dependence (LDA-SD), which can model the different dependencies of HFLI and LFHI losses in the framework of LDA.
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
Few jurisdictions use measure to backstop risk-based capital frameworks
Bank estimates Sfr35 billion jump in RWAs from Basel III, with credit modelling one driver, says CRO Bluhm
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
As a result, the bank’s CET1 jumped to 11.8% from 10.6% in the previous quarter
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
Possible fixes under consultation don’t go far enough, say banks
EIB model head explains a four-step process for putting risk at the centre of governance efforts
This paper proposes a qualitative method to assess the maturity of model risk management practices within banks.
Working group reports “growing need” for valuation adjustment but cherry-picking fears persist
Until all the final standardised approaches are known, the floor has little meaning
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Cladistic analysis shows importance of control failure, crime and fraud
This papers is the first to link bank liquidity performance and core–periphery network structures.
This paper presents a method for approximating the current loan-to-value (CLTV) and remaining principal structures of heterogeneous mortgage loan pools.
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Bank-style leverage ratio for insurers one option being discussed