Modelling
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
AI models prompt banks to strengthen governance
Risk managers want ‘transparency and clarity’ around AI-based models
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
CCP stress tests need improvement, argues new research
Existing data could inform greater number of stress scenarios and create system-wide test
Retail banking performance improves Groupe BPCE cost of risk
Retail banking network cost of risk falls 22bp to 15bp
Bank of America and BNY Mellon suffer VAR breaches
Trading losses exceeded estimates on a single day at each dealer in the first quarter
FRTB: Nordic banks mull regional data pool
Local tie-up could “prevent big banks entering the markets in the Nordics”, says local risk manager
Safeguarding liquidity in a changing environment
Nick Gant, head of fixed income prime brokerage for Europe, the Middle East, Africa and Asia-Pacific at Societe Generale Prime Services, discusses banks’ evolving responsibilities for providing liquidity in a post-financial crisis environment in which…
On the offensive – Seeking a new edge, buy-side invests in portfolio and risk analytics
A fast-moving, headstrong hedge fund – hit by rare losses after a black swan event touched on an overweight country exposure – ponders adding fresh quantitative expertise. Much to traders’ chagrin, the chief investment officer and chief operating officer…
NAB model change boosts mortgage RWAs
Residential mortgage RWAs leap A$10.6 billion
RBS model change loads on credit RWAs
RBS's total RWAs increase for the first time since 2015
UBS warns of 6% increase in credit RWAs in 2018
The bank's credit RWAs continue upward trend
Start-up fund looks to profit from early-stage bubbles
Market feedback loops have a signature that can be spotted and monetised, new fund SIMAG says
Modelled RWAs fall at BNY Mellon
Gap between RWAs calculated under the two approaches shrinks
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
Fed’s Curti: SMA will smooth capital mismatches
OpRisk North America: non-US banks holding less capital under own-models approach was “a big problem”, says regulator
JSCC margin changes ease Japan interest rate pain
Negative rates prompted switch in the CCP’s margin calculation model for interest rate swaps
Precise cyber modelling ‘a pipe dream’, expert says
OpRisk North America: Cyber risk models should aim for accuracy, not precision
From Lehman to rupee crashes: India’s CCP chief on market stress
Risk chief sets about bolstering CCIL’s risk modelling, lookback periods, and portfolio compression
Canada’s banks go it alone with FRTB data utility
Local lenders reject advances of major data utilities to build own solution
Deutsche adds senior quant to risk methodology team
Theis leaves role as head of market models at Standard Chartered to join German bank