Standardised approaches
European Commission plans permanent changes to FRTB
EU legislator will start work on new rules later this year to ensure level playing field with US
Can US regulators keep Collins happy with one capital stack?
Legal experts say Basel III endgame redraft retains spirit if not letter of the floor
UBS’s market RWAs fall below pre-FRTB levels
Charges drop 15.8% in Q4 as legacy assets continue to roll off
Limited RWA gains support rethink on Fed output floor
Advanced approaches cut RWAs only marginally across US banks
Basel III endgame – a timeline
A review of Risk.net’s coverage of the US implementation saga
Leaked EU plans offer extra temporary relief for FRTB models
Risk factors would need only two observations to be modellable. Do changes foreshadow US Basel III?
FRTB internal models: quo vadis?
Two risk experts explore how to adjust the FRTB framework to promote internal model usage
US regulators bid to save FRTB IMA, but it’s no small task
Even if industry wish-list is granted, a 2028 start date might be too soon for model adoption
Hopes rise for cross-product netting under SA-CCR
Banks want rule change in Basel III endgame to lower capital costs of clearing UST repos
Exposures with undisclosed risk-weights hit new highs at US banks
Assets in the ‘other’ category of standardised risk-weights grow to $700bn
The state of IMA: great expectations meet reality
Latest trading book rules overhaul internal models approach, but most banks are opting out. Two risk experts explore why
EBA supports global op risk taxonomy, but it won’t happen soon
New EU framework designed to ease adoption by banks; other jurisdictions have different priorities
New EBA taxonomy could help integrate emerging op risks
Extra loss flags will allow banks to track transversal risks like geopolitics and AI, say experts
FRTB (SA) product of the year: Bloomberg
A globally consistent and reliable regulatory standardised approach for FRTB
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
CVA capital charges – the gorilla in the mist
The behaviour of CVA risk weights at US banks in 2020 hints at the impact of the Basel III endgame
NMRF framework: does it satisfy the ‘use test’?
Non-modellable risk factors affect risk sensitivity and face practical and calibration difficulties, argue two risk experts
ICBC’s equity fund RWAs surged fivefold in Q3
Less risk-sensitive mandate-based approach drives Chinese bank’s spike to record high
EU’s FRTB multiplier risks picking winners and losers
Attempts to find capital-neutral way to implement new rules might create unlevel playing field
ABN Amro shifts 70% of credit risk to standardised approach
RWA increase from portfolio migration in Q3 offset by regulatory add-ons removal
Market RWAs climb to new highs at top Chinese banks
Bank of China, China Construction Bank and Shanghai Pudong Development Bank set records for second successive quarter