Basel Committee on Banking Supervision (BCBS)
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
US banks rue missed opportunity to reform G-Sib surcharge
As method 2 drifts away from Basel, critics fear comparability and competitiveness will suffer
Banks slam zombie floors in Basel endgame proposal
US regulators double down on capital floors despite clampdown on internal models
Modelled RWAs diverge further from standardised at BNY Mellon
Gap grows to highest since 2019, pushing bank high above Collins floor
US G-Sibs face higher add-ons in Barr’s surcharge framework review
Fed vice-chair proposal to reduce ‘cliff effects’ could add between 40bp and 10bp to capital requirements
Fed urged to focus on resolvability in Basel III endgame
Industry roundtable suggests resolution planning should take priority over higher G-Sib charge
Goldman could face higher capital charge under Barr proposal
Plans to prevent G-Sib score window dressing would penalise all US systemic banks bar Citi
EU banks balk at new market risk models back test
EBA proposals introduce additional expected shortfall back test for market capital risk models under FRTB
Trading volume surged at ABN Amro and BNPP in 2022
Banks’ role in secondary market intermediation continues to grow as Deutsche retreats, G-Sib indicators show
Goldman on course for 3.5% G-Sib surcharge
Bank faces 50bp of extra capital add-on from 2025 in the absence of risk score reduction by year-end
Risk managers mull Basel-style climate standards
Risk Live: Splintered approach to stress-testing across jurisdictions “very, very worrying”, says risk expert
Regulators’ remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
Basel’s IRRBB shock scenario update hit by US crisis
Recalibration of shocks had been touted for Q3, but wider rethink may now cause delay
First Citizens leads regional bank rush for riskless assets
Share of 0% risk-weighted assets increases at small banks for first time in seven quarters
Risk modellers navigate fearful new world of depositor behaviour
Silicon Valley Bank suffered fastest bank run in history, but how should others respond?
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
The regulator that troubleshoots first, asks questions later
Canada’s bank watchdog aims to intervene early to tackle burgeoning risks, even at the expense of “perfect” regulatory decisions
Basel climate guidance leaves op risk managers in the dark
Banks still unclear on how to fit climate events into existing capital framework
Why tougher liquidity rules may not reduce the risk of bank runs
EU regulator and industry experts say LCR reform is the wrong response to Credit Suisse and SVB
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Banks look back in anger as FRTB revives 1990s risk test
Institutions bemoan need for parallel framework to measure portfolios’ sensitivities to market moves
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
Five regional banks predict lower income from higher rates
IRRBB simulations show lending revenue shrinking as Fed policy gets tighter
Missing Basel metric could have revealed SVB risks
US regulators did not implement economic value of equity test that SVB failed badly in 2021