Banks
US regional bank casualties: the Fitch Ratings view
The rapid collapse of four US banks in March raised serious questions over risk management failures and regulatory blind spots. Christopher Wolfe and Olivia Perney of Fitch Ratings discuss the root causes of the problems in the US – and concerns…
Five banks lowballed loan losses in latest DFAST
Banks project $23bn smaller hit to loan portfolios, with Wells Fargo and Citi the most off-target
Citi’s stress-test estimates out of sync with Fed’s
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Making banks investible again after this year’s turbulence
Following the failure of four US banks and the bail-in of Credit Suisse, panellists at Risk Live Europe discussed the market outlook and whether reform is needed
In DFAST, banks clear 4.5% minimum but breach all-in buffers
Forty-three percent of participants would have seen capital plans rejected under pre-2020 CCAR regime, up from 30% last year
Unrealised losses down but not out in latest DFAST
Bank of America would emerge from Fed’s scenario with $22 billion net AOCI gain
New developments in XVA: an inside view on bank strategy in a changing world
This webinar addresses market issues and explores banks' strategies for optimising capital efficiency, shedding light on how banks are adapting to changing regulation, how they minimise the impact of market volatility on capital requirements and how…
US Bancorp, Citizens head for tighter ‘tailored’ standards
Banks on track for stricter capital and liquidity rules, while tiered US standards come under scrutiny
Asia moves: Senior hires at BNP Paribas, BNY Mellon and more
Latest job news from across the industry
The impact of treasury operations and off-balance-sheet credit business on commercial bank credit risk
Using a vine copula, he authors demonstrate that global systemically important banks face lower credit risk using data from commercial banks based on three risk factors.
Eurozone needs harmonised resolution tools, officials say
Commission proposals could bolster stability and common deposit insurance plans, say supervisors
Cyber risk definition and classification for financial risk management
The authors put forward a definition and classification scheme for cyber risk than can be used as a template for data collection by financial institutions.
MUFG’s settlement risk surges fourteenfold
Risk-weighted assets for Japanese lender’s unsettled transactions cross ¥300 billion mark in the first three months of 2023
Bank of the West brings C$730m in loan provisions to BMO
Acquired book comes with 2.5x the quarterly charges booked by BMO standalone
US arms of Credit Suisse, SMBC stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the duo
Taking stock: putting a price on US bank regulation post-SVB
Tougher requirements could “blow a hole” of 200+bp in regulatory capital ratios – and cripple equity returns
Three FHLBs increase loans by $150bn in Q1
Atlanta, Cincinnati and Dallas dominate first-quarter lending splurge despite accounting for just 37% of total assets
Client margin for swaps hit all-time high in March
Wells Fargo, Goldman and BNP Paribas reach record figures, but overall trend driven by five big dealers
At US banks, share of HTM securities ticks up in Q1
Despite liquidity squeeze, regional banks increased proportion to a six-year high
Zero-day spikes vanish as bank worries exceed inflation fears
Implied volatility for short-dated options points to shift in sentiment after SVB failure
The information value of past losses in operational risk
The authors argue that past operational losses inform future losses at banks and that the information provided by past losses results from their capturing factors that are hard to quantify in other tests.
Europe’s new IRRBB test: the riddle with no answer
A proposed compromise on net interest income test is not scientific, but exact calibration may be impossible
Interest rate risk drives ING’s VAR to two-year high
Dutch lender’s trading risk indicator averaged €14 million in Q1
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016