Supervisors have provided less stress-testing guidance for op risk than for credit risk
Proposed infrastructure add-on could make blockchain settlement and payment systems non-viable
Republican governor Bowman delivers “shot across the bow” to new vice-chair
Latest BCBS monitoring report shows four-fold increase over next seven years
Output floor could account for almost half the increase in Tier 1 capital requirements by 2028
Almost half of EBU’s members have set out CCyB hikes; five plan two or more before mid-2023
Bankers don’t believe climate-adjusted risk-weights will enter EU prudential framework – not for now, at least
Confusion over use of buffers makes bankers wonder if concept will ever be successful
Former vice-chair says leverage ratio gold plate was based on flawed projections of Fed reserves
Some doubt regulator will go through with buffer hike while forecasting recession
Some MEPs want to ease rules further than EC draft; others want return to undiluted Basel text
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
New framework likely to reduce use of internal models, as planned; but is that a good thing?
Shifting timetable and rule tweaks that could alter incentives dampen appetite for internal models
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
This paper presents a model that combines ES models based on EVT and neural networks and meets all criteria for the validity of the Basel III standard.
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
This paper examines how people risk is managed in banks using interview data obtained from operational risk management experts working in the UK banking sector.
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
End of non-cleared derivatives exemption leaves local branches scrambling for capital
Largest banks seek offsets for higher capital requirements caused by possible end of IRB, IMM
Industry insiders expect Fed to drop IRB and IMM when adopting Basel III, but market risk models may survive
Isda AGM: Hernandez de Cos is unmoved by arguments that high risk weights will push banks out of crypto