Risk weights
Majority of US G-Sibs’ assets attract sub-100% risk-weighting
Risk Quantum analysis shows top US banks retrenched to lower-risk assets through the pandemic
BoE floor could double capital charges on HSBC’s UK home loans
New rules could forcibly push up residential mortgage portfolio’s 5% risk density
Sign prediction and sign regression
This paper proposes an approach whereby the loss function regularizes the errors in prediction in different ways.
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
Change to risk-weight floor amps EU banks’ securitisation RWAs
BNP Paribas’ banking book securitisation RWAs increased 32% on end-2019
Risk density of top US banks edged down in Q1
Banks piled up assets with low risk-weightings in the first quarter
The UK’s path to EU equivalence: détente or detour?
Race to meet post-Brexit cross-border trading requirements will go down to the wire
Low risk assets pile up at systemic US banks
Sub-100% risk-weighted assets increased by $157.9 billion
Lower risk-weights for real estate free up Nordea’s capital
ECB cut risk-weights for Swedish and Norwegian commercial real estate to 50% at year-end
The backlash against green weightings
Banks get a lot of flak for not doing enough to mitigate climate risks
Structural snags frustrate STS for synthetics
Curbs on excess spread and collateral stymie route to ‘high-quality’ signifier
Eurozone G-Sibs’ modelled risk weights well below average
Six of eight systemic lenders have modelled risk weights lower than the G-Sib and European mean
The greening of Natixis’s balance sheet
Green weighting factor will be used to adjust the credit RWAs of loans
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
Synthetic securitisations and Europe’s capital sweetener
Regulator weighs high-quality label for synthetic deals, but without favourable capital treatment
Most US G-Sib assets attract low risk weightings
Of total assets, 53% have a standardised risk weighting of 50% or lower
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
Esma questions CCP ‘free ride’ for sovereigns
Regulator has asked EC to take a stance on venues that let public entities clear without posting margin
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
MUFG head criticises internal modelling restrictions
Isda AGM: Mitsubishi UFJ Group CEO also sounds warning on sovereign risk weights and CVA
Q&A: Visco of Bank of Italy on bank reforms and supervision
Splitting off prop trading would ‘complement’ EU resolution regime
Banks attack proposed risk weights for specialised loans
EU lenders say both EBA proposals would distort capital requirements
Apra toughens mortgage risk weights for Australian banks
Financial stability fears drive regulators to raise capital levels for banks
A simple, transparent and rational weighting approach to combining different operational risk data sources
The authors propose a generic weighting function based on a nonparametric approach that can be used to weight the different distributions.