Internal models
Bond run hits UniCredit capital buffer, trading income
Bank rides rollercoaster of BTP price plunge
Switch to internal model helps HSBC cut counterparty risk by 18%
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter
Mortgage add-on elevates ING credit risk
Credit RWAs up 4.2% on loan growth and Belgian regulator-set multiplier
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
Tired of overshooting, BNY Mellon revamps stress test model
Capital distributions crimped by conservative CCAR estimates
Forecasting corporate defaults in the German stock market
In this paper, the authors estimate and test several default risk models using new and unique data on corporate defaults in the German stock market.
BAML drops below Collins floor
BAML becomes the sixth big US bank to report higher standardised RWAs than modelled RWAs
Quants tout exposure-based approach to op risk modelling
Ebor especially suited to modelling loss events such as legal claims, say proponents
Basel III ratios bolster bank resilience – BIS
Analysis shows regulatory minimums protect banks from distress
Seeing red: EU banks swamped by stress test demands
Banks’ stress test submissions receiving tens of thousands of error messages from local supervisors
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
TD Bank freed from Osfi capital floor
As a result, the bank’s CET1 jumped to 11.8% from 10.6% in the previous quarter
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
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