Internal models
Europe arrogant to reject capital increase, says lawmaker
Parliamentarian hits back at European Commissioner's criticism of Basel model floors
Regulatory fragmentation drives Basel RWA impasse
European Commissioner rejects model floors that US regulators have already imposed
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Paper of the year: PJ de Jongh, Tertius de Wet, Kevin Panman and Helgard Raubenheimer
South African academics pioneer a quick and easy way of estimating op risk capital
Global capital rules for insurers must allow internal models – ABI
European firms should be free to use in-house models for insurance capital standard, even if US firms cannot
Metro Bank aspires to IRB for credit risk
CRO Aileen Gillan discusses UK bank’s approach to culture, conduct and credit risk under Basel II
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
PRA frets about Solvency II internal model ‘drift’
Bank-style leverage ratio for insurers one option being discussed
Internal model use may decline under FRTB, banks say
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Getting in shape for the FRTB has to start now
Many banks are lagging behind when it comes to ensuring they are fit for the new trading book regime
Banks seek to counter FRTB internal model add-on
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors
Internal model cull to create ‘perverse incentives’
Isda AGM: Standardised capital approaches create herding behaviour, says JP Morgan exec
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
Corporates fear price rises if Basel curbs credit risk models
Trade finance exposures would move to standardised approach
FRTB data standards seen as threat to emerging markets
Need for 'real' prices will limit use of models, increasing capital burden
Crying wolf on CVA?
Standardised approach will hit corporates – but it's not clear that capital will jump
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
Discarding the AMA could become a source of op risk
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners