Internal models
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models
Default risk of US bank corporate exposures edges up
Median average-weighted probability-of-default of G-Sib corporate portfolios hits 1.22%
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
JSCC member default fund contributions fall to ¥676bn in Q2
Default fund contributions shrink 19%, but members’ initial margin payments climb
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Risk data validation under BCBS 239
Based on a survey of twenty-nine major financial institutions, this paper aims to advise banks and other financial services firms on what is needed to get ready for and become compliant with BCBS 239, especially in the area of risk data validation.
Regulatory changes swell RWAs at BBVA
Targeted review of internal models saps 13 basis points from CET1 capital in Q2
FRTB internal models in fight for survival
Basel III capital floor leaves banks struggling to justify own-models approach, say risk experts
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
A tech-driven transformation
A panel of experts explores how greater collaboration between risk and finance teams can garner significant benefits and add value, how technological innovation is making the regulatory landscape more complicated to navigate and produce transformative…
Eurozone G-Sibs’ op RWAs fall €8.1bn in Q1
Deutsche Bank led the charge with €6.4bn reduction
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
IRB approaches cover two-thirds of European bank credit risk
Share of risk-weighted assets calculated using internal models between 41% and 91% at the G-Sibs
SME loans more capital intensive for big eurozone banks
Corporate loans to smaller enterprises attract high risk weightings
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018