Basel Committee on Banking Supervision (BCBS)
Banking book rate risk project splits in two
Regulators working on Pillar II guidance as well as fixed capital regime
Top 10 op risks 2015: model risk
Avoiding model failure will be a key issue in 2015
Basel rate-risk project sets up scrap over deposit models
Regulators could cap the maturity banks assume for large chunks of their deposit base
Back-testing expected shortfall
Three easy-to-implement methods for back-testing expected shortfall
Softer NSFR may not save repo, banks warn
Final rule slashes funding requirement for reverse repo, but applies it more widely
Dealers fret over NSFR impact on equities
Basel Committee ignores calls to protect market in new funding rules
US bilateral margin rules: a hit parade of horrors
US regime differs on currency, threshold, eligible collateral and non-financials
In-depth introduction: Expected shortfall
Weird or pragmatic: VAR-based back-tests for expected shortfall
Back-testing expected shortfall: mission possible?
Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Hull and White on the pros and cons of expected shortfall
Expected shortfall may be more conservative than VAR, but there are backtesting and stability concerns
Basel's operational risk capital revisions welcomed
Basel Committee overhauls standardised approaches
AIB welcomes AFS bond filter preservation
Senior risk manager says economy too fragile to remove filter
German banks attack Basel charge for banking book rate risk
Current plans unsatisfactory, says industry association
VAR replacement may be too volatile, banks warn
Criticism of expected shortfall has been muted, but concerns are growing
US energy firms cheer regulators’ shift on margin rule
New proposal exempts non-financial end-users from margin requirement
Defections give new life to revolving-door debate
Matherat to Deutsche, O'Malia to Isda - regulatory moves worry some
Conduct risk rush a worry, says State Street op risk head
Setting up conduct risk units in a hurry may hamper op risk management
Japan slams European rules on bilateral swaps
Japanese firms will to look to use non-European counterparts
Repo rules decimate key liquidity ratio at Barclays
Reverse repo treatment in draft NSFR cuts ratio from 113% to 98%
Risk managers defend IRB against Tarullo criticism
Banks insist credit risk approach can be fixed - and remains more sensitive than stress tests
Nordea Markets: speedy trading book revamp "not safe"
Hard to gauge impact of ambitious proposals, says market risk head
Operational risk modelled analytically
Regulators require banks to use an internal model to compute a capital charge for operational risk, which is thought to be sensitive to assumptions on dependence between losses that still remain a matter of debate. Vivien Brunel proposes an analytical…
Default fund capital will halve under final rule, banks say
Clearing members welcome Basel's fifth – and final – version of charge
Too many agencies involved in AMA for common approach
Regulator warns reaching common standard will be difficult