Internal models
SVAR hits seven-year high at Crédit Agricole
Stressed trading-loss measure rose 14% on average in first six months of 2024
Climate stress tests are cold comfort for banks
Flaws in regulators’ methodology for gauging financial impact of climate change undermine transition efforts, argues modelling expert
Fourteen US banks poised to benefit from curtailed market risk rule
Fed’s changes to Basel III endgame proposal would keep regional banks with limited trading activity exempt from costly FRTB requirements
ANZ takes A$20bn RWA add-on from capital floor
Charges linked to output floor adjustment rose sevenfold in the second quarter
Nykredit reclassifies Dkr70bn of credit risk to A-IRB
Reserves held in anticipation of upcoming regulatory requirements transferred from F-IRB approach in Q2
EU banks lose relief on model test after FRTB delay
Deferment of new trading book regime to January 2026 eats into transition period for “erratic” P&L attribution test
Study finds just 10 banks plan to apply for FRTB models
Research provides extra insight on reasons for decline in internal models
Shift to SEC-SA pushes Helaba’s charges for securitisation exposures to record high
Standardised RWAs account for 63% of the bank’s total following fivefold increase
ABN Amro, Intesa lead EU IMA users with RWA surges
Rates volatility tests models in their twilight years before FRTB forces shelving
Japanese banks far apart on credit model efficiency under Basel III
MUFG lowered credit and CCR charges the most among country’s top dealers
Japanese banks reap ¥9trn RWA savings from FRTB switch
Tokyo’s dealers fare better than overseas rivals on new CVA and market risk approaches
Basel III endgame: why moving fast might prove better for banks
Republicans are pushing for reproposal, but a rapid finalisation may prove less far-reaching
Isda pushes to ‘decouple’ Simm calibration from model changes
Emir 3.0 prompts effort to separate risk-weight revisions from methodology updates
Revealed: the three EU banks applying for IMA approval
BNP Paribas, Deutsche Bank and Intesa Sanpaolo ask ECB to use internal models for FRTB
BNY Mellon dips below Collins floor after surge in standardised RWAs
All nine US banks using internal models now bound by regulator-set approach
SVAR updates push Barclays’ modelled market charges up 9%
Trading portfolio regulatory risk gauge up 52% over the second half of 2023
Canadian banks’ market RWAs spike on FRTB switch
CIBC, TD Bank and Scotia saw end-January charges jump amid overall ditching of internal models at Canada’s big five
Canada’s FRTB pioneers get snowed on fund-linked trades
As Basel capital reforms go live, risk managers eye early adopters’ progress and push to improve capital treatment of fund-linked products
Higher revenue pushes HSBC’s op risk up 14%
Increased net interest income over 2023 major driver behind six-year high figure
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Citi, JP Morgan incurred record VAR overshoots in Q4
Peak single-day losses rank among worst for US banks post-pandemic
Why Canada is giving FRTB internal models the cold shoulder
“Crazy” cost of tech upgrades among reasons why banks snub own models to calculate market risk capital
No Canadian banks using internal models as FRTB kicks in
One bank still plans to adopt IMA after delays prevented it going live in January
ING’s op risk jumps 10% on model updates
Other European AMA users report moderate hikes