Internal ratings-based (IRB) approach
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
Monthly credit data review: new-tech scepticism
David Carruthers of Credit Benchmark looks at the most recent trends in bank-sourced credit data
Banks diving into credit data pools as official support grows
European regulators embrace external data for internal modelling of credit risk capital
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
Q&A: EBA’s Vaillant on Basel IV, FRTB and CVA
Authority’s “key goal” in Basel talks has been to defend risk-sensitive capital framework
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
IFRS 9 poses credit risk model dilemma for Asian banks
New accounting standard requires tough data upgrade, but capital incentives are weakening
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
UK banks under pressure to use IFRS 9 in stress test
Banks unable to calculate impairments under extreme scenarios must answer to regulator
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
EBA: small banks will be worst hit by IFRS 9
Standard approach banks disadvantaged by higher capital impact and implementation burden
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Credit veteran rewrites the alphabet of risk modelling
Scott Aguais helps banks go from point-in-time to through-the-cycle, and back again
Banks battle to preserve ‘good value’ IRB models
Improving credit risk modelling assumptions could soften Basel's push for input floors
Euro regulators may look to cull internal credit risk models
Fewer models and higher capital requirements seen as likely outcomes of SSM review
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
Isda chair on twin threats facing OTC market
Capital a “sword of Damocles”, says Litvack; cleaner CSAs will fix valuation woes
Corporates fear price rises if Basel curbs credit risk models
Trade finance exposures would move to standardised approach
Basel plans modelling curb for billions in credit RWAs
Proposals clamp down on IRB approach that is “usually gamed pretty easily”, says FDIC’s Hoenig
Banks seek capital pill for accounting headache
IFRS 9 loan loss provisions should be offset by reduction in capital, banks argue