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
CCP default funds 35% larger than on eve of pandemic
Sixteen out of 25 clearing services had bigger buffers heading into the recent tariff turmoil compared to Q4 2019
JP Morgan’s equity and commodity VAR soar to five-year highs
Trading risk gauges jump 150% and 190% amid Q1 trading flurry
US hedge funds post near-record low share of securities collateral
SEC data shows $3.66 trillion tied to posted securities at end-2024, down 10% in three months
Index CDS trading nearly doubles as tariffs spook market
Turnover ebbed in single-name contracts as iTraxx and CDX volumes climbed rapidly last week
Bond rout puts pressure on UST holdings at US banks
Banks leaned heavily on mark-to-market Treasuries before April’s sell-off
US tariffs spur rush to European dividend futures
Turnover hits €3.5bn in three days as traders brace for fallout on corporate balance sheets
OCC’s equity-based IM hit record 91% heading into 2025
CCP’s margin base leant further into equities ahead of market turmoil
US banks held record $78bn in equity collateral before market crash
Stocks made up 11% of dealers’ OTC derivatives collateral at end-2024 – highest ever reported
