Risk weights
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
Capital-neutral securitisation risk weights
A closed-form formula to allocate capital to the tranches of a securitisation is presented
Basel III overhaul triggers credit RWA reshuffle at EU banks
A-IRB down by a third, F-IRB more than doubles and standardised approach up by a quarter
CRR III curbs charges for BPCE’s equity stakes
RWAs for subsidiaries outside prudential consolidation drop 82% after Basel revamp
Wells Fargo’s seven-year freeze sees rivals surge ahead
Risk density and loan growth lagged as Fed enforced asset cap
Basel III prompts Scandi banks to redraw credit risk
Danske, Handelsbanken and Nykredit scale back A-IRB under new rules
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
A peek under the hood of Canadian banks’ new CVA machine
Disclosures from the country’s top dealers offer first glimpse of how FRTB reforms can reshape capital gauge for potential losses on derivatives
Podcast: Alexandre Antonov turns down the noise in Markowitz
Adia quant explains how to apply hierarchical risk parity to a minimum-variance portfolio
Russian loan liquidation lifts RBI’s risk density
Cash parked at sanctioned central bank carries higher capital requirements than original loans
Nordea’s credit RWAs surge €19bn as ECB approves new retail models
Revised risk-weightings for mortgages drive sharp rise in credit risk
Scotiabank pivots to standardised approach for securitisation exposures
Risk-weighted assets under SEC-SA jump 450% in three months to end-July
New CRE model adds $1.8bn to UBS’s RWAs
Swath of exposures moved from standardised to IRB approach in the second quarter
NatWest securitisation RWAs hit record high in Q2
Higher amounts of significant risk transfers originated by the bank behind latest increase
As risk of US Basel delay grows, Europe is in a bind over CVA
European Commission may postpone FRTB, but it’s hard to separate surgically from rest of framework
Record number of US banks turned to riskless assets in Q1
Western Alliance leads pack with doubling of exposures in 0% bucket
Six Chinese banks set market risk records in Q1
Market RWAs spike 63% overall in first disclosures after rules update
EBA’s correlated currencies shake-up raises EU banks’ charges
Capital requirements for FX risk double after EUR/USD and other 196 pairs deemed no longer in sync
First Citizens’ high-volatility CRE loans doubled last year
Rise in 150%-weighted class of exposures largest among 260 US lenders
Capital One’s credit exposure riskiness set to rise post-merger
Discover acquisition would push share of assets with 100% risk-weight to six-year high, pro forma analysis shows
BoE puts American spin on fix for FRTB’s govvies dilemma
Four jurisdictions find four different ways to resolve Basel market risk capital quirk