Eurozone banks with better models are least able to offset Covid-driven rise in backtesting multiplier
Clearers must strike balance between countercyclicality and sensitivity to risk
In this paper, we explore the procyclicality of initial margin requirements based on VaR volatility models.We suggest procyclicality can be reduced using a three-regime model rather than using ad hoc tools.
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Hopes that ECB will fix double-counting as VAR breaches rise on market volatility
This work looks at a wide range of models to test the degree to which CECL is procyclical for different types of model.
Mortgage backtest study shows some loan-loss models miss the mark
The Fed is split on whether to apply a countercyclical buffer. But so is everyone else
Procyclicality calculations should depend on expected spikes in volatility, argue Ice risk experts
This paper investigates whether the substantial focus placed on the procyclicality of initial margin reflects both the original concerns at the time of the 2007-8 financial crisis and the intrinsic 'modus operandi' of CCPs.
Standard-setter’s top staffer is moving on. He wants industry to do the same
Dutch firms have more than 25% of total assets tied up in non-traditional investments
In total, EU states hiked CCyB rates 13 times last year, up from six in 2017
Eleven EU members currently apply CCyBs, with Bulgaria the most recent country to join the club
Dispute over economic impact rages on despite agreement on capital relief
Efforts to prevent ‘margin spiral’ during stress could encourage more risk-taking, paper argues
Swedish banks now subject to highest add-ons among European Union lenders
Procyclicality of capital and portfolio segmentation in the advanced internal ratings-based framework: an application to mortgage portfolios
This paper investigates the procyclicality of capital in the advanced internal ratings based (A-IRB) Basel approach for retail portfolios, and identifies the fundamental assumptions required for stable A-IRB risk weights over the economic cycle.
The Lehman crash still haunts the margin models of LCH, CME and Eurex, albeit in different ways
Minimum capital requirement will rise around 20 basis points at BPCE; 16 at Crédit Agricole
0.25% surcharge the lowest of nine CCyBs across member states
Excluding some metrics makes A-IRB retail portfolio risk model more stable
BoE paper’s prophesies of lower investment and thinner liquidity are too dramatic, specialists think
In richer test, ‘filtered’ VAR beats five other measures