Risk-weighted assets (RWAs)
Trim review pumps up Commerzbank’s credit RWAs
Additional RWA increases also expected in coming quarters
Wells Fargo op risk charge jumps $3.6bn in Q3
San Francisco-based lender still bound by standardised capital approach
SocGen’s CET1 ratio shoots higher as revamp continues
French bank sheds €7.1 billion of RWAs in Q3
Model tweaks lift Danske’s market RWAs 30%
Tough trading quarter could also have pushed VAR-based charges higher
Op risk charges weigh on ANZ
RBNZ model ban and Apra op risk overlay push RWAs higher
Lloyds’ counterparty credit risk charge rises £60m in Q3
Charge for mark-to-market changes to derivatives increases 10%
Model scrutiny depletes Santander’s capital ratio
Targeted review of internal models takes 28bp off CET1 ratio year-to-date
Deutsche’s op RWAs fall 7% in Q3
Wind-down of ‘bad bank’ cuts €3.2 billion in op RWAs alone
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
PRA grants Barclays £1bn op risk capital relief
Op RWAs fall to £42.5 billion in Q3
At UBS, market risk charge falls following model updates
Market RWAs dropped on the quarter, even though risk levels increased
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Banks detect daylight between EC and EBA on op risk capital
EC consultation seeks input on ‘cliff effects’ of including past losses
Following Fed changes, Morgan Stanley’s leverage bind to loosen
Bank chief cannot see capital requirements going up when stress capital buffer and new SLR come into effect
Citi approaches capital target
CET1 capital has dropped 1.8% on the quarter following post-CCAR distributions
UK banks accelerate RWA increases in Q2
Market and operational RWAs return to growth after shrinking in Q1
Goodwill makes up $69bn of BAML’s equity
Across eight US G-Sibs, goodwill comprises 18.7% of pre-adjusted CET1 capital
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
Game theory plays well for capital management
Barclays quants use Shapley method to optimise capital allocation
JP Morgan’s CVA charge jumps $249m in Q2
All US G-Sibs post higher CVA capital requirements for the quarter
Top UK banks cut CVA charges by 9% in Q2
Standard Chartered is only outlier among big five to see capital requirement rise
Reduced-form capital optimisation
A linear approximation to an allocation technique provides a solution for banks’ capital managment
Asset correlation estimation for inhomogeneous exposure pools
This study investigates the systematic error that is made if the exposure pool underlying a default time series is assumed to be homogeneous when in reality it is not.
Over three years, credit risk has built up at Swiss banks
Credit Suisse has also reduced the portion of its credit RWAs calculated using internal models