Standardised approaches
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
HSBC pares down market RWAs after model update, VAR change
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
EU targets late 2024 for FRTB internal model reporting
Final IMA rules to be adopted in mid-2021 with three-year implementation period
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
Quantification of regulatory capital for management of operational risk in banks: study from an emerging market economy
This paper studies the various methodologies used by an Indian bank in its operational risk management activities: these include loss database analysis, risk control self-assessment and key risk indicator (KRI) identification.
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
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
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
Wells Fargo eyes escape from Collins floor
Advanced and standardised RWAs are just 1% apart
By crushing RWAs, Goldman sends its capital ratio soaring in Q3
Risk-weighted assets fall 5% in three months
Model change erodes credit RWAs at TD
US retail loans have grown 23% in two years
Shift out of models nets ING €8bn of sovereign RWA relief
Of standardised approach government debt exposures, 24% had a zero risk-weighting in Q2
BNY Mellon strengthens capital stack
CET1 capital increased 9% quarter-on-quarter
Modelled RWAs diverge from standardised at Goldman Sachs
Advanced approaches RWAs are now 10% higher than standardised
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
EU bank credit models neglect peripheral countries
A majority of non-core EU exposures are under the standardised approach
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
CIBC’s escape from SA-CCR lowers capital charge
Bank embraces internal model approach for derivatives portfolio