Incremental risk charge (IRC)
Deutsche’s IRC peaks at record high during H1
€905m charge for trading book default and migration is largest among global dealers
IRC capital charges surge at Deutsche and Intesa
Risk-weighted assets covering default and downgrade of traded bonds all but double at Italian lender
NatWest’s modelled market RWAs up 10% on RNIV backstop
Bank sees higher charges while it reworks VAR engine
EU dealers’ IRC charges surge on debt market jitters
Santander and Natixis among hardest hit, with charges up 117% over first six months of the year
Nordea’s IMA RWAs climb 11% in Q2
Relentless rise in VAR keeps pushing up bank’s market charges
NatWest’s market RWAs up 8% on higher VAR multiplier
Bank incurred regulatory backtesting exceptions amid heightened market volatility
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
UBS market RWAs dropped 25% in Q3 as VAR cooled
High value-at-risk outputs dropped out of averaging window in Q3
Over four years, US banks blitz correlation trading risks
JP Morgan’s CRM charge has fallen 94% since Q1 2015
EU’s model study finds problems with bank VAR methods
Banks surveyed by the ECB had an average of 32 issues with their market risk models
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
An analytical value-at-risk approach for a credit portfolio with liquidity horizon and portfolio rebalancing
The authors provide a two-period analytical value-at-risk approach for credit portfolios with a liquidity horizon and a constant level of risk.
Trading book fears grow as rules enter home straight
Hedging threatened by treatment of liquidity and diversification, critics claim
Risk USA: "We needed to run a simpler bank," says UBS risk manager
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
JP Morgan and the CRM: How Basel 2.5 beached the London Whale
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Responding to the eurozone crisis
The cutting crew
Risk 25: Banks prepare for a low-RWA future
Weight loss: preparing for a low-RWA future
Writing love letters to models
Love letters to models
US and EU banks face different Basel III floors
Regulators propose overhaul of US capital framework in long-awaited response to Basel III and Basel 2.5 - but there are differences to the European version of the rules
Spanish banks allowed to ignore default risk for sovereign bonds
Banco de España is one of a number of European supervisors allowing its banks to ignore a Basel 2.5 requirement to model default risk on government bonds
Dangerous embrace: disentangling bank and state
Dangerous embrace
Stress test struggle: separating liquidity and market risks
Stress test struggle