Credit risk capital
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Volatility of IFRS 9 loss estimates alarms lenders
Accounting model outputs wildly out of sync with those used to calculate regulatory capital requirements
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Basel gives local supervisors latitude to set ECL relief
Guidance for IFRS 9 and Cecl phase-in leaves local regulators to decide on calibration
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue
Risk Annual Summit: Bank deleveraging 'might not be cyclical'
Aircraft, shipping and project finance all set to lose out as banks seek to constrain capital consumption, panellists warn
Sovereign risk weights under threat
Weight gain
Merkel's EU bailout plan threatens Basel’s sovereign zero risk weights
Discussions are already under way behind closed doors, knock-on effects for bank capital could be substantial
The maturity effect on credit risk capital
In a mark-to-market approach to credit risk capital, ratings or spread volatility has the effect of making longer-maturity loans more capital-intensive. This is incorporated in the current Basel II proposals via a maturity adjustment factor. Arguing that…
The maturity effect on credit risk capital
In a mark-to-market approach to credit risk capital, ratings or spread volatility has the effect of making longer-maturity loans more capital-intensive. This is incorporated in the current Basel II proposals via a maturity adjustment factor. Arguing that…
Survey shows modifications could lower Basel II credit risk charges
Banks using a more complex risk measurement approach under the Basel II bank accord, if potential modifications are put in place, would have lower credit risk capital charges than under the current Basel I accord.