Internal models
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
Conference hears fierce criticism of Basel op risk plans
Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
UK wrong on volatility adjustment, says Insurance Europe
Olav Jones weighs in to debate that could see Eiopa overrule PRA
Standardised approaches: the risks of reform
Comparing modelled and standardised capital may raise more questions than it answers
Imap exposes differences on one-in-200-year risks
Diverging views remain on calibration of stresses
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Smaller China banks opt for internal credit risk modelling
Basel III and a rise in bad loans drive banks to reassess credit risk management
Too many questions in Basel floor plans, industry claims
While standardised rules are being revised, banks say they can't make a call on floors
US insurers under pressure to ramp up modelling frameworks
US insurers reviewing models as regulations begin to bite