Pillar 2
EBA to weigh in on credit spread risk conundrum
Industry confusion persists over which products in banking book are affected by spread changes
LBBW breaches leverage floor in EBA stress test
Adverse scenario would erode €229bn in CET1 capital across 64 banks
Bank of England urged to rethink HHI concentration risk add-on
Experts think overhaul of credit risk measure should be part of PRA’s ongoing Pillar 2 review
UBS hit with $761m capital add-on for uncollateralised hedge fund lending
Finma imposes Pillar 2 buffer over Archegos-style exposures
Value-at-risk models face neglect due to FRTB uncertainty
Some banks delaying material upgrades until timeline to replace VAR becomes clearer
Looming US Basel endgame redraft sparks calls to save IRB
Experts say 20 years of data makes credit risk models more appropriate than standardised approach
EBA to address double-counting caused by new capital floor
Existing EU capital add-ons for model risk would duplicate new Basel floor on internal models
Banks cry foul over shock decision from Basel Committee
Asset and liability management professionals question severity of criteria in revised IRRBB tests
Op risk managers say models will survive phase-out of AMA
Risk Live: Supervisory focus expected to shift to Pillar 2 capital, and ILM may make a comeback in Europe
Model teams fear budget cuts as FRTB wipeout looms
Senior modellers think supervisory intervention is needed to prevent funding drought
Top 10 operational risks for 2024
The biggest op risks for the year ahead, as chosen by senior industry practitioners
ECB raised Pillar 2 charges for just three CRE-heavy banks in latest SREP
Pfandbriefbank and Luminor saw largest increases across 106 banks subject to 2023 assessment
Nordic banks’ RWAs rise $9bn on Swedish risk-weight floor rejig
Constraints on real-estate exposure modelling result in Pillar 2 charges moving to Pillar 1 requirements
Filling the gaps in Basel’s interest rate risk measures
Reverse stress-testing or VAR may work better than existing outlier tests, but are hard to manage
Bankers call for overhaul of EBA stress tests
Support for multiple scenarios, but only if fixed assumptions and variables are scaled back
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
Banks dispute EBA’s new threshold for IRRBB test
Banks say new proposal for identifying outliers on net interest income is still too severe
Why risk managers don’t trust the EU’s new IRRBB test
And why there may never be a perfect way of assessing the risks of changes in net interest income
Swedbank takes $3.47bn RWA hit from credit model overhaul
Rejig of IRB models is expected to reduce the bank’s Pillar 2 requirement