

ECB’s Trim found 900 flaws with 31 banks’ market risk models
Remedying shortcomings added €11 billion to market RWAs in aggregate
The European Central Bank identified 900 issues with the internal market risk models used by 31 banks through its years-long audit – of which over one-quarter were designated “high severity”.
The ECB’s Targeted Review of Internal Models (Trim), which kicked off in 2016 and closed last year, identified 824 specific deficiencies with the in-house models for generating market risk capital requirements used by banks in scope of the exercise, plus additional problems following consistency checks
Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content.
To access these options, along with all other subscription benefits, please contact info@risk.net or view our subscription options here: http://subscriptions.risk.net/subscribe
You are currently unable to print this content. Please contact info@risk.net to find out more.
You are currently unable to copy this content. Please contact info@risk.net to find out more.
Copyright Infopro Digital Limited. All rights reserved.
As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (point 2.4), printing is limited to a single copy.
If you would like to purchase additional rights please email info@risk.net
Copyright Infopro Digital Limited. All rights reserved.
You may share this content using our article tools. As outlined in our terms and conditions, https://www.infopro-digital.com/terms-and-conditions/subscriptions/ (clause 2.4), an Authorised User may only make one copy of the materials for their own personal use. You must also comply with the restrictions in clause 2.5.
If you would like to purchase additional rights please email info@risk.net
More on Risk Quantum
Dollar dip erodes AmEx’s overseas hedges by $198m
FX swaps shielding foreign equity stumble as greenback retreats
Systemic risk jumps at Chinese G-Sibs in 2024
OTC derivatives and securities volumes drive sharpest increases in 10 years
Basel III switch sends BNP Paribas’s op risk charges up 60%
Blow-up follows shelving of AMA model previously underpinning over two-thirds of op RWAs
Tariff turmoil drives $31bn margin surge at FCMs
JPM and Goldman lead futures brokers to record margin highs amid Trump tariff shock
Fed’s proposed SCB tweak would free $20bn of capital at US banks
Averaging of stress test-based inputs over two years would reduce current add-ons by up to 60bp
Synthetic deals drive securitisation RWA surge at EU banks
BNP Paribas and RBI lead Q4 rise
One year on, EU banks get greener as GARs grow
Contentious green asset disclosures show improvements for most major European banks in 2024
China’s top banks bulk up liquidity as global peers trim buffers
US G-Sibs continue to trail with lowest median LCR since 2021