Internal models approach (IMA)
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
One thing missing from US Basel III proposal: a deadline
Without a deadline, risk teams will struggle to secure resources to begin implementation projects
Isda’s Basel III playbook: speak softly and carry a big QIS
Scott O’Malia on capital reforms, repo markets and tokenised collateral
BPCE VAR exceptions lift capital add-on
Three breaches in H2 2025 push bank into amber zone, raising capital add-on
Can the US FRTB revamp make the IMA great again?
Banks are finally presented with a viable internal models framework under Basel III’s market risk rules
Deutsche’s IMA RWAs jump 12% on SVAR recalibration
RWAs linked to stressed component bloat €3.5 billion on switch in historical reference period
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
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
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
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
Santander SVAR surge lifts IMA RWAs 22%
Third-quarter spike contrasts with broad European declines
Equity VAR hovering near four-year high at US banks
Gauges of stock market risk rise 36% in just one year
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Nomura shuffles risk methodology team
Epperlein takes advisory role six months after Japanese bank’s FRTB IMA go-live
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
Nomura eyes FRTB models expansion for FX desks
With rates desks all now on FRTB internal models, markets head says FX is next
Lower SCBs bring Citi, JPM close to Collins floor
Uncertainty lingers amid Fed proposal on SCB averaging and push to scrap the floor