Basel Committee on Banking Supervision (BCBS)
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Liquidity stress testing ‘essential’, says ECB supervisor
Supervisor warns conference banks will need to shape up their Ilaap responses for 2017
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
Comments on the Basel Committee on Banking Supervision proposal for a new standardized approach for operational risk
In this paper, the behavior of the SMA is studied under a variety of hypothetical and realistic conditions, showing that the simplicity of the new approach is very costly.
Should the advanced measurement approach be replaced with the standardized measurement approach for operational risk?
This paper discusses and studies the weaknesses and pitfalls of the SMA and the implicit relationship between the SMA capital model and systemic risk in the banking sector.
Non-cleared margin rules unsettle Asian booking hubs
European banks reluctant to rely on complicated exemptions for inter-affiliate trades
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Non-cleared margin rules put spotlight on Blazer market hub
Trade and model mismatches will be key tests for vital margin call service
Firms aim to convince Basel on merits of op risk insurance
Lack of recognition in new SMA capital charge could cause market to shrink, worry insurers
Risk managers wary of op risk securitisation
Sfr270 million transaction by Credit Suisse and Zurich thought unlikely to be copied due to SMA
The three lines of defence: a health warning
Effective risk management is more important than what your organisational chart looks like
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
Three lines of defence model comes under attack
Operational risk managers say idea is too formalised and beset by implementation challenges
CVA models may miss half of true default risk
Benefits of initial margin also overstated, new research finds
EBA connected counterparty plan raises compliance jitters
Guidelines would cut the large exposure due diligence threshold to 2%, versus the 5% Basel standard
Dealers predict ‘softening’ of NSFR in Europe
Some banks' pricing already assumes rule will be watered down
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Banks fear FRTB internal model approval gridlock
UK regulator said to have concerns about the high volume of simultaneous approval requests
Eurozone must lead search for doom-loop fix
Basel Committee working on sovereign risk, but eurozone has most at stake
MVA: swaps scale new heights in complexity
Banks are turning their attention to calculating a new derivatives valuation adjustment
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
US-European rift deepens on leverage ratio
FDIC rebuffs European calls to allow netting of client clearing margin in leverage exposure measure
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Creating business value: Measuring the return of improved data management
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