Internal models
Allianz reduces interest rate risk following model change
Solvency II ratio sensitivity to -50bps interest rate shock falls from -11% to -7%
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
Zurich builds up capital buffers
Insurer edges toward over-capitalisation on its own measures
ING market risk charge edges higher
Dutch bank adds €0.8 billion of market RWAs
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Modelled RWAs fall at BNY Mellon
Gap between RWAs calculated under the two approaches shrinks
FRTB threatens dynamic forex hedging of capital ratios
Industry says recent Basel proposals are unclear and retain burden of pre-approval for hedges
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
FRTB: ECB postpones model approval deadline
Postponement follows Basel’s decision to revise key elements of new market risk framework
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
FRTB: banks grapple with hard-to-model risks
Swiss, UK bank efforts to comply with regulators’ risks-not-in-VAR rules may be undone by transition to FRTB
Revised Basel output floor could hit US banks after all
Fall in operational risk weights could push up capital requirements for market and credit risk
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
HKMA offers fast-track model vetting in swaps hub pitch
Streamlined process could take just six months, says official
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
A Darwinian view on internal models
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners