Internal models approach (IMA)
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
ABN Amro sustains assault on market risk
The bank's market RWAs dropped 24% quarter to quarter, to €1.7 billion, following a 41% reduction in the first quarter
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
Amber zone in new P&L test ‘almost useless’, say banks
Analysis shows many desks would not benefit from safe harbour in Basel FRTB proposals
BIS renews claims of capital 'gaming'
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone