Internal models
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
Common validation techniques for risk proxies found wanting
Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders
Sberbank's switch to IRB approach lifts capital ratio
Despite the RWA increase, the bank's CET1 capital ratio rose 20 basis points, to 11.6%
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Model updates buttress Allianz's solvency ratio
Solvency II requirement less sensitive to rates, credit volatility than 2017
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
Goldman edges closer to Collins floor
Six of the eight US G-Sibs are currently below the Collins floor
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
OCC default fund drops $5bn under new approach
Switch to stress-testing based approach triggers drop in required default resources
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
The disputed terrain of model risk scoring
There is no concord on how banks should police their model risk. But two Fed economists have an idea
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
US regionals may get $8bn capital break in Fed proposal
Under tailored framework, mid- and small banks would also get $77bn liquidity relief
Model changes threaten 30% rise in Nordea's RWAs
Imposition of new risk weight floors will harm bank's capital ratio
Deutsche sweats accounting switch, model probe
CET1 ratio could fall 40bp following ECB-led internal model assessment
Compliance preparations amid uncertain rules
A forum of industry leaders discusses how banks will define individual trading desks under FRTB, whether BCBS 239 compliance projects can help banks meet FRTB risk data challenges, which model validation obstacles banks still face and other key topics