Internal models approach (IMA)
European Commission changes tune on proposed FRTB multiplier
Banks fear departure from original diversification factor undermines case for permanent relief
UBS’s CVA charges spike by 30% under new market risk regime
Proportional impact is higher than at any FRTB adopter so far
UBS takes standardised approach for FRTB – for now
Swiss bank is one of the largest to drop internal models; sources say it could switch later
Tug of law: EC’s FRTB compromise plan can’t please everyone
Leaked draft consultation unlikely to reconcile the global versus regional bank divide
Credit fears drive US banks’ IRC requirements to 2022 highs
JP Morgan, BofA lead with triple-digit surge in Q4
Delving into the European Commission’s proposed overhaul of FRTB
Raft of potential changes would benefit both IMA and SA banks – but only temporarily
Market knee-jerks keep VAR models on their toes
With a return to volatility, increased backtesting exceptions show banks’ algos are stretched
Why the survival of internal models is vital for financial stability
Risk quants say stampede to standardised approaches heightens herding and systemic risks
US dealers tally most VAR breaches since mid-2023
Market turmoil in Q4 blindsides models at systemic and regional banks alike
HSBC’s SVAR hits highest in six years on interest rate sensitivity
Lofty readings in the last quarter of 2024 push associated RWAs to $13 billion
Value-at-risk models face neglect due to FRTB uncertainty
Some banks delaying material upgrades until timeline to replace VAR becomes clearer
During Trump turbulence, value-at-risk may go pop
Trading risk models have been trained in quiet markets, and volatility is now looming
European Commission in ‘listening mode’ on potential FRTB changes
Delay or relief measures on the table after UK postpones start of Basel III to 2027
Australian FRTB projects slow down amid scheduling uncertainty
Market risk experts think Apra might soften NMRF regime to spur internal model adoption
EU IMA users maintain edge in keeping risk charges compressed
Aggregate market RWAs increased slower in 12 months to June than at banks using SA only
Deutsche’s IRC tops €8 billion in four-year high
Ballooning credit-event risk charge contrasts with Q3 drop at BNP Paribas, ING
Technology vendor of the year: Numerix
Risk Awards 2025: Fincad and PolyPaths deals added coverage; AAD and cloud refactoring boosted speed
Bank risk manager of the year: Intesa Sanpaolo
Risk Awards 2025: Market risk team developed new tools that helped overcome the challenge of FRTB internal models
Commerzbank wager swells UniCredit’s modelled RWAs by 62.5%
Total return swaps on German shares inflate VAR and SVAR components
Barclays and HSBC opt for FRTB internal models
However, UK pair unlikely to chase approval in time for Basel III go-live in January 2026
UBS logs three VAR breaches on legacy Credit Suisse positions
Bank risks higher capital charges amid market volatility and exit-related costs