Internal models
Nykredit’s climate-sensitive exposures jump to Dkr67bn in H1
Conservative methodology and Spar Nord acquisition triple bank’s climate risk
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
SEB’s market risk add-on swells 153% in Q2
Temporary adjustment more than doubles as internal model change awaits sign-off
Citi’s modelled RWAs outpace standardised by record $152bn
Widening RWA output gap puts Collins floor back in spotlight
CVA risk charges spike 73% at EU banks under Basel III
Crédit Agricole leads surge, as basic approach dominates CVA capital calculations
Softer DFAST market shock favours Goldman but confounds comparability
Tweak to trading book test reveals widening gap between bank and Fed loss forecasts
EBA mulls rule changes to speed up model approval process
Risk Live: Reducing compliance burden of credit risk model updates can aid banks and supervisors
‘I feel like a guinea pig’ – lessons from an early IMA adopter
Risk Live: Nomura’s Epperlein urges flexible approach to backtesting exceptions
Norinchukin trims slotting approach reliance, expands A-IRB scope
Bank’s models recover ground after Basel III curtailing
US has got what it wanted from Basel, say former regulators
Calls to stay at the table come after US Treasury Secretary condemned “outsourcing” of regulation
Basel III switch sends BNP Paribas’s op risk charges up 60%
Blow-up follows shelving of AMA model previously underpinning over two-thirds of op RWAs
Japan, Basel III and the pitfalls of being on time
Capital floor phase-in delay may be least-worst option for JFSA as US and Europe waver
Santander’s operational, securitisation RWAs hit new highs
Record rise in op risk comes before Basel III implementation
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Basel III spurs €62bn credit RWA reshuffle at Rabobank
Bank switched corporate portfolios from A- to F-IRB on eve of reforms’ January 1 go-live
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks