Internal Capital Adequacy Assessment Process (ICAAP)
ALM has no formal role in capital planning at a third of banks
Risk Benchmarking study finds banks split three ways on policy mandates, with G-Sibs as likely as small regionals to assign ALM formal responsibility
Staff, survival days, models – where banks split on ALM
Liquidity and rate risks are as old as banking; but the 46 banks in our benchmarking study have different ways to manage them
Is your ICAAP up to the challenge?
Unlock flexibility and business value from the ICAAP
Lifting the game on ICAAP and unlocking business value by making money do more
How the logical building blocks of a bank’s ICAAP align with the functionality embedded within the FIS Balance Sheet Manager solution
Supervisors use generative AI to tame ‘chaotic’ data
Officials merge credit databases with unstructured reports to sharpen bank oversight, explains Banco de España ex-deputy
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
FCA presses UK non-banks to put their affairs in order
Greater scrutiny of wind-down plans by regulator could alter capital and liquidity requirements
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Stressing of migration matrixes for International Financial Reporting Standard 9 and Internal Capital Adequacy Assessment Process calculations
This paper demonstrates that correlation estimates are sensitive to model assumptions and estimation methodology by comparing three methods used to stress rating transition matrixes.
ECB’s Covid capital relief boosted too-big-to-fail banks
Capital headroom increased 176%
Internal stress tests of EU banks not up to scratch – ECB
Only one in 10 banks’ internal tests are tougher than supervisor-run programmes
ECB lays foundations for climate risk capital charge
New guide will influence capital management, but pillar two charges likely to await EBA report
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
EBA rate risk guidelines ease deposit cap
Greater flexibility welcomed, but problems may remain for mortgage lenders
EBA 'abolishing' two-pillar Basel framework, critics say
New guidelines prescribe make-up of Pillar II capital add-ons for first time
Risk USA: Deutsche Bank's 'painful' living will process
German bank tells of challenges posed by regulators' recovery and resolution requirements
FCA to scrutinise funds' op risk, expert warns
EU Alternative Investment Fund Managers Directive requires greater formality over op risk
Emerging risk detection continues to pose dangers
Regulators keen to see evidence of how institutions identify emerging risks in next round of stress tests
Goldman Sachs airs risk laundry, publishes report on operations review
Goldman Sachs report airs dirty risk laundry
Regulators to present living wills proposals to G-20
Banks asked to draw up blueprints for resolution as part of a pilot scheme