Capital management
European banks rebuild AT1 capital stock
Additional Tier 1 capital up 26% since end of 2023
Bowman shuns CECL. Friends say it just needs a little help
How far should FASB go in reforming credit-loss accounting rules?
Erba myth: will US banks choose new capital measure?
B3E gives US banks a dilemma – adopt expanded risk-based approach, or a new standardised alternative
Lightening the RWA load in securitisations
Credit Agricole quants propose new method for achieving capital neutrality
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Credit risk transfer, with a derivatives twist
Dealers angle to revive market that enables them to offload counterparty exposures, freeing up capital
Bank credit risk: how well do you know your counterparties?
As financial markets evolve, evaluating the complex credit risk exposures of non-bank counterparties is crucial for effective risk management, says Quantifi’s Dmitry Pugachevsky
Risk optimisation and hedge accounting to stabilise regulatory capital
Continual interest rate increases have been reshaping banks’ balance sheets worldwide. With these historic interest rate hikes, regulatory capital has been exposed to volatility driven by flawed hedge accounting programmes or hedges failing effectiveness…
Banks fear G-Sib tweak will increase capital volatility
Fed proposal would raise capital surcharge in 10bp increments
Op risk data: UBS lands $380m Archegos loss
Also: BofA billed for bilking customers; red faces over Deutsche greenwashing. Data by ORX News
Citi poaches BofA capital veteran for treasury CRO role
Cenk Kamis leaves for rival US bank after 20-year stint at Bank of America
Looming slowdown casts doubt on countercyclical capital
Confusion over use of buffers makes bankers wonder if concept will ever be successful
BoE’s planned procyclical capital hike bewilders banks
Some doubt regulator will go through with buffer hike while forecasting recession
Quiet man: is Michael Barr the Clark Kent of regulation?
A decade after crafting Dodd-Frank, Fed’s new vice-chair must tame DC's warring regulatory factions
Westpac’s IRRBB charges rose faster than peers’ in Q2
Over 9% of bank’s total RWAs linked to interest rate risk, up from 6% three months earlier
Hedge fund stake exit helps Credit Suisse cut VAR
Market risk-weighted assets at the AM unit drop almost 95% following the move
Clear out: inside the equities takeover of Citi’s FCM
Clearing unit is being reshaped to support equities growth push
A numerical approach to the risk capital allocation problem
The aim of this paper is to use a model-free, nonparametric approach based on the method of maximum entropy in the mean to solve the capital risk allocation problem.
The new rules of market risk management
Amid 2020’s Covid-19-related market turmoil – with volatility and value-at-risk (VAR) measures soaring – some of the world’s largest investment banks took advantage of the extraordinary conditions to notch up record trading revenues. In a recent Risk.net…
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
Bank leverage and capital bias adjustment through the macroeconomic cycle
The author assesses the quantitative effects of the recent proposal for more robust bank capital adequacy.