This paper evaluates the operational risk capital requirements of large US banks to determine whether they are forward looking, sensitive to banks’ current exposures and designed to allow for risk mitigation.
The gap between the two averages has widened over the past three quarters to 250bp from 212bp
UK regulators’ letter to firms could be followed by Pillar 2 charge to speed transition to Sonia
Decision will leave some contracts without a CCP from next April
US agencies seek comment on whether IM should be recognised in leverage ratio calculations
Mexico, China, and US yet to implement key rule changes
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Market share in long-dated trades has halved since metric was imposed at start of year
Four sources say draft will make concession; it could also revive EU-US segregation drama
FRTB implies 54% capital uplift for G-Sibs
The Basel III output floor will impose the single largest Tier 1 capital requirement on 46% of G-Sibs
NSFR could also be finalised before year-end; final stress capital buffer rule expected in early 2019
Basel III output floor will add 5.4% to minimum required capital
Just seven of 193 surveyed below 100% minimum requirement at end-2017
Total capital ratios would fall to 14.5% from 18.5% if reform package were implemented today
'Daft' guidance would see settled-to-market derivatives caught by NSFR and LCR liquidity ratios
Calibration of ratio looks “somewhat insane” when applied to real world, conference hears
Vibrato and automatic differentiation for high-order derivatives and sensitivities of financial options
This paper deals with the computation of second-order or higher Greeks of financial securities. It combines two methods, vibrato and automatic differentiation (AD), and compares these with other methods.
State Street had the lowest LCR, at 108%, and UniCredit the head of the pack with an LCR of 179%
Learning the wrong lesson from Lehman? Ring-fencing hikes risk of bank failure, says Credit Suisse’s Wilson Ervin – he proposes an alternative
Bank of England changes exempt central bank claims from UK measure, causing discrepancies with CRR version
Will Jelena McWilliams finally nail down the FDIC’s role as a resolution authority?
Data highlights the risks posed by economic protectionism, writes David Carruthers of Credit Benchmark