Internal models
Europe’s next chore: cleaning a floor made messy by the US
Rejection of Basel III’s output floor leaves EU with some difficult decisions to make
RBI’s modelled market RWAs jump on Tarf stress shock
FX volatility scenario for 2009 drives sharp rise in stressed VAR under internal models approach
Basel III endgame: overall relief hides winners and losers
G-Sibs gain from surcharge reform while AOCI hits regional banks
BoE’s Bailey expects global consensus on FRTB internal models
Isda AGM: UK is reviewing proposals from US and EU regulators before finalising its IMA rules
Can US regulators keep Collins happy with one capital stack?
Legal experts say Basel III endgame redraft retains spirit if not letter of the floor
Isda’s Basel III playbook: speak softly and carry a big QIS
Scott O’Malia on capital reforms, repo markets and tokenised collateral
UK rethinking tougher capital rules for US bank subsidiaries
US endgame draft would trigger UK Basel III trap floor for foreign banks, but PRA is reviewing
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
FRTB models find salvation in US Basel III proposal
Changes to P&L attribution test and NMRFs make IMA viable for US banks, risk managers say
US blows the floors off Basel III
Barr criticises “downward deviations” in US rule; Bowman rejects “blind adherence” to global standards
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
BPI says SR 11-7 should go; bank model risk chiefs say ‘no’
Lobby group wants US guidance repealed; practitioners want consistent model supervision and audit
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
Apple credit card acquisition pushes JP Morgan above Collins floor
Modelled RWAs overtake standardised output for first time since Q3 2016
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
Wells Fargo bucks peers with rise in CCP default fund contributions
Heavier clearing drives bank’s balance to new high in Q3
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually