Standardised approaches
Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
EBA: small banks will be worst hit by IFRS 9
Standard approach banks disadvantaged by higher capital impact and implementation burden
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Regulatory fragmentation drives Basel RWA impasse
European Commissioner rejects model floors that US regulators have already imposed
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Technology: banks start thinking inside the box
Monolithic capital markets systems are giving way to microservices, containers and APIs
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Regulator of the year: Australian Prudential Regulation Authority
Apra wins praise for pushing business case for op risk modelling and scenario analysis