Basel Committee on Banking Supervision (BCBS)
Haircutting non-cash collateral
Wujiang Lou develops a parametric haircut model to conduct sensitivity tests and capture market liquidity risk
In the balance: global regulation walks a tightrope
FSB evaluation could maintain international standards or accelerate their decline
Q&A: Asia caught in the Basel crossfire, says Andrew Sheng
Veteran regulator says international standards may be the wrong medicine for emerging markets
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
FRTB: proxy risk factors may trigger model failures
Swapping non-modellable risk factors for proxies may make it harder to pass P&L attribution test
FX forwards users drop EU banks over margin rule
Other dealers do not have to collect margin on physically settled forwards
CCP stress testing gets real
Quants propose technique to generate effective, plausible CCP stress-testing scenarios
Adjusting to the P&L attribution test in FRTB
Consultants offer tips on eligibility framework for new internal models approach
Repeal CEM; reform SA-CCR
Capital framework hurts clearing resilience, Citi execs argue
UK proposes gold plating of liquidity risk rules
Cashflow mismatch risk framework aims to plug holes in Basel Committee's liquidity coverage ratio
FRTB: Asian banks criticise simpler standardised approach
Branch entities of larger banks barred from using simplified version of SBA
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Op risk capital fight a limp political thriller
Battle to replace AMA with non-models approach was beset by nationalistic squabbles
U-turn on SMA comparability sparks anger
Three regulators echo bank dismay as key principle of op risk capital framework is abandoned
Accounting for initial margin under IFRS 13
Chris Kenyon and Richard Kenyon show why initial margin should be part of the fair value of a derivative
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
US learns to play the Basel game
Mnuchin report marks a US regulatory shift – from leadership to gamesmanship
Revised SMA could allow banks to ignore past op risk losses
Leaked proposals say loss component will be left to national regulators, threatening an unlevel playing field
Three lines of defence model still evolving, say practitioners
Clearer split in responsibilities between first and second lines needed, say op risk chiefs
Don’t let the SMA kill op risk modelling
The SMA is not a good response to the AMA’s failings – but don’t throw the baby out with the bathwater
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
Banks worry FRTB will fracture Asian trading desks
Rules could produce “lots of little country desks”, warns StanChart market risk head