Systemic risk
Basel Committee members ‘buying time’ before fixing FRTB mess
Despite inconsistencies today, regulators maintain they want to align global regime eventually
Huntington, Fifth Third set to become cat III banks in 2026
Purchases of Cadence and Comerica expected to lift assets above $250bn threshold, triggering stricter regulatory requirements
Asymptotic behavior of systemic risk based on the higher-moment capital allocation
The authors derive asymptotic formulas for systemic expected shortfall and marginal expected shortfall based on higher-moment capital allocation rules and show that systemic risk is asymptotically proportional to value-at-risk.
DFAST model changes would boost capital ratios
But category IV banks would suffer amid PPNR overhaul
Ditching Fed’s method 2 could unlock $112bn for top US banks
JPM and BofA could see largest capital gains if US G-Sib surcharge approach dropped, amid speculation of a framework overhaul
Crédit Ag’s risk footprint swells faster than EU peers
Relative analysis of systemic scores suggests sticky step-up in G-Sib surcharge
Genius Act piles pressure on shrinking OCC, says Hsu
Risk Live North America: former agency head fears stablecoin vetting could “crowd out” other duties
BNP Paribas poised for fresh G-Sib score cut via intra-EU waiver
Carve-out facing US pushback compressed bank’s cross-border footprint 51% in 2024
European banks swell stocks of complex instruments
Derivatives and hard-to-value holdings rose across the bloc in 2024
JP Morgan SE’s clearing rate plunged to 15% in 2024
US bank’s EU arm slashed €5.7trn in cleared notionals, while bilateral grew €11.4trn
Reporting overhaul: the EU’s near-impossible balancing act
Regulators must weigh their desire to streamline derivatives reporting against the need to gather crucial trade data
JP Morgan SE, BPCE drive surge in European OTC derivatives
Foreign-owned dealer and French bank climb rankings on rapid notional growth in 2024
EU reporting revamp may end up costing banks
Esma’s review into trade reporting promised to cut reporting burden and save firms money. Dealers aren’t convinced.
US banks’ OTC derivatives climb to new highs amid tariff woes
Notionals up more than 7% in largest Q2 jump on record
EU banks’ systemic indicators soared to record highs in 2024
Trading activity drives surge across 29 banks
UniCredit shed €976bn of OTC derivatives notionals in 2024
Italian bank posts sole decline among EU peers through trade compression
Key principles for operational risk stress testing design and evaluation
The author surveys operational stress testing methods and proposes a conceptual framework for designing operational risk stress tests.</li>
RBC US inches towards category III status on assets build-up
Canadian lender’s US subsidiary on course for stricter liquidity and leverage requirements in Q3
Rumblings over UK review of ‘bad apples’ regime
Plans to reform Senior Managers and Certification Regime raise concerns over backsliding on conduct in financial industry
Saved by the Byrd? The fight over the OFR’s future
Dodd-Frank made it the premier data-grabber, and the financial world doesn’t like it
Public interest assessment in resolution of small and medium-sized banks in the European Union
This paper studies key determinants of public interest assessments in EU bank resolution with a focus on three factors: systemic risk, bank size and bank localness.