Internal models approach (IMA)
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
Japan regulator: we are racing to finish FRTB in 2018
Japanese banks warn against rushing rules with poor data, and fret over EU delays
Banks fear more trades will be caught in NMRF trap
“Many risk factors now will essentially look like NMRFs,” says North American bank’s risk manager
Basel floor change boosts Canadian bank capital ratios
CET1 ratios improve between five and 120 basis points quarter-on-quarter at 'Big Five'
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
US will implement FRTB, insists Fed official
Isda AGM: “I don’t know why people doubt” US adoption, says Lynch
Basel’s Coen warns on FRTB complexity
Isda AGM: Regulators may consider “simpler and more robust” approaches when finalising rules this year
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts
Regional banks cheer tweaks to FRTB standardised approach
Planned softening of SBA makes it more appealing, but most banks still expect to adopt IMA
FRTB: ECB postpones model approval deadline
Postponement follows Basel’s decision to revise key elements of new market risk framework
Basel to scrap automatic fails for P&L test
“Amber zone” will protect near-miss desks, but regulators not convinced by NMRF complaints
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
Top 10 op risks 2018: model risk
Model risk re-enters top 10 amid avalanche of validation regulations
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Basel delay does not ensure global FRTB consistency
A European Parliament draft would let supervisors decide response to P&L attribution test fails
HKMA offers fast-track model vetting in swaps hub pitch
Streamlined process could take just six months, says official
The FRTB’s P&L attribution-based eligibility test: an alternative proposal
Spinaci, Benigno, Fraquelli and Montoro propose two alternatives to the P&L attribution test
Unlucky for some: Europe’s war on 13 Dutch prop traders
Liquidity hit feared as FlowTraders, IMC, Optiver and other non-banks face bank-style capital rules
Asian regulators need to step up to swaps challenge
Markets on the cusp of change require new supervisory capabilities
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules