Basel III
WHAT IS THIS? Basel III is a set of bank soundness rules drawn up by the Basel Committee on Banking Supervision in response to the financial crisis. It hikes the minimum amount of capital banks must hold, introduces new leverage and liquidity ratios, and limits the use of internal models.
Basel IV and the butterfly effect: a lesson in unintended consequences
This white paper delves into the impact of Basel III/Basel IV on the banking industry, explaining the increase in regulatory capital, reduction of free capital and decrease in profitability.
Kneejerk regulatory reaction to SVB risks lending squeeze
Risk manager at regional bank says any Dodd-Frank 2.0 would be ‘fighting the last war’
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
ESG strategies special report
This Risk.net special report sponsored by SAS features a series of articles that reflect on the latest initiatives for consistent standardised global frameworks for measuring ESG, consider the methodologies investors are using to make measurable progress…
Integrating ECL into stress testing platform: credit risk characteristics
This Financial Risk Group white paper, authored by Jonathan Leonardelli, director of business analytics, examines how credit loss in the expected credit loss process can leverage changes in the credit risk profile of a portfolio during a stress scenario.
Credit Suisse’s funding disclosures raise questions
The bank reported $141 billion of “other exposures” in NSFR at the end of 2022
Integrating ECL Onto A Stress Testing Platform: Scenarios
This white paper examines technological and methodological strategies to help to produce stress testing expected credit loss values that comply with IFRS 9 as well as CECL Standards for your financial institution.
US regional banks hold smaller proportion of high quality assets
Share of Level 1 assets at Capital One, Truist, US Bancorp lowest across US banks subject to LCR
Small banks set for 2% capital reduction under Basel III
Lower leverage ratio requirements expected to offset Tier 1 capital increases for credit risk and output floor
Basel III TLAC shortfall widens to €30bn
Three systemic banks responsible for the increase in latest Basel Committee assessment
Reading Between the Fines: A Deep Dive into Financial Institution Penalties in 2022
Fenergo’s latest research report on financial institution penalties in 2022 is available now. Key analysis shows that fine values in the Asia-Pacific region were just 0.77% of what they were in 2021.
SA-CCR lobs $3.6bn onto DBS’s RWAs
New approach’s 1.4x multiplier meant capital charges for derivatives surged last year
Rabobank closes gap to Basel III after RWA top-ups
Mortgage floor, other model corrections bring forward reforms’ forecast impact
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement
US credit risk modellers prepare for life after IRB
Stress tests and economic capital calculations may not carry the same weight as Basel ratio
Was Archegos default a one-in-a-million event?
BoE quant says neglecting high leverage and WWR may create conditions for similar blow-ups
ING’s op RWAs climb 7% on AMA update
Second quarterly rise in a row erases most of the reduction in the first half of 2022
ECB ratchets up Pillar 2 charges across top lenders
UniCredit, BNP Paribas, SEB and Swedbank worst-hit in latest SREP round
F-IRB captured more of EU banks’ credit risk in H1
Gains mostly accrued from bank-modelled A-IRB portfolios
Complying with climate risk framework standards for streamlined processes
Conscious that climate change affects all sectors of the economy, financial institutions are realising the significant impact this will have on their customers and, ultimately, their own profit margins.
BMO suffers C$10bn capital floor bite
Charges to constraint-modelled RWAs rose sixfold during Q3
Podcast: Leveraging Real-time Data Feeds For Faster Business Decisions
The markets have been on a very volatile ride in 2022, which makes low-latency data more crucial to the business.
RBI, ING’s op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Fed official confirms US targeting 2025 for Basel III adoption
US regulators also preparing more guidance on concentration risk for outsourcing providers