Internal models
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor
How to solve the Fed’s $300bn FRTB problem
A sacrifice will have to be made to ensure new market risk rules meet demands for capital neutrality
US banks notch most VAR overshoots since pandemic
Dealers’ gauges underestimated trading inventory price swings on 34 occasions during Q2
Nomura wins NMRF reprieve from Japan’s FSA
Relief granted due to scarcity of vendors offering pricing data for market risk models
CVA risk hits record highs at DBS and UOB
Singaporean banks post biggest RWA increases since 2022
Nomura’s FRTB models reap 33% saving on debut
Trading desks cleared for new IMA’s use win ¥225 billion relief on end-March capital requirements
Speedy onboarding: the push for faster model approvals
Europe’s banking watchdog is planning to streamline how it authorises credit model updates. Not a moment too soon, say bankers
EU banks face €500bn RWAs surge from full output floor
Risk charges to rise 8% on average under fully phased-in rules by 2033
Basel III overhaul doubles Nomura’s credit risk
Surge reflects asset migration and new equity treatment