Internal models
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Looming US Basel endgame redraft sparks calls to save IRB
Experts say 20 years of data makes credit risk models more appropriate than standardised approach
SEB’s RWAs hit record high on upcoming requirements
Add-on of Skr9 billion helps drive CET1 ratio to lowest since pandemic
UBS blunts Basel III RWA impact, gains time for Credit Suisse integration
Bank secures valuable time to integrate legacy assets and prepare for forthcoming regulatory challenges
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
EBA to address double-counting caused by new capital floor
Existing EU capital add-ons for model risk would duplicate new Basel floor on internal models
EU IMA users maintain edge in keeping risk charges compressed
Aggregate market RWAs increased slower in 12 months to June than at banks using SA only
Goldman chalks up highest VAR breach since pandemic
Nine breaches in total across 34 banks in Q3
Morgan Stanley’s CVA capital charges surge 42% in Q3
Jump in simple approach output drives RWAs to highest since 2020
Mizuho faces steepest capital squeeze from Basel floor
Fully floored RWAs would cut core capital ratio by 244bp, the sharpest drop among Japanese megabanks
Basel III slashes $78bn in RWAs from top Singapore banks
Credit and operational risk recalibrations fuel double-digit falls at DBS, OCBC and UOB
Finma add-on drives UBS’s market RWAs to eight-year high
Swiss regulator adds $1.4bn to mitigate maturity mismatch risk within IRC
Volatility drives up NatWest’s market RWAs despite IMA efficiencies
Higher VAR and SVAR readings overshadow £373 million saving from broader modelling scope
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
BNP Paribas exec fears data drought from market’s IMA cuts
Vendors may not step up with critical inputs to support internal models under FRTB
FDIC’s McKernan wants single capital stack in Basel III endgame
Rebuffing Barr’s offer of a partial rollback, Republican director also targets op risk framework
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
ANZ takes A$20bn RWA add-on from capital floor
Charges linked to output floor adjustment rose sevenfold in the second quarter
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2