Internal models approach (IMA)
VAR breaches force capital add-on at StanChart
Value-at-risk capital requirement soars 38% to $161.8 million quarter-on-quarter
2022 – A market risk odyssey
Though January’s final version of FRTB offered no great surprises to those who have followed the regulation since its inception, banks now have a greater idea of what is required of them. Bloomberg explores the importance for banks to have FRTB…
A helping hand – Addressing industry concerns
The Basel Committee on Banking Supervision’s final revisions to the FRTB guidelines aim to address industry concerns around complexity and capital implications. A forum of industry leaders discusses whether the changes have been effective and how banks…
Turning the IMA into a competitive advantage
Following the clarification of the FRTB rules in January 2019, financial institutions are now working towards a 2022 implementation deadline, finalising how their trading books will operate under this demanding regulation. Eoin Ó Ceallacháin, head of…
Generali expands scope of internal model
Total SCR drops 8% to €20.4 billion in 2018
Capital allocation under the Fundamental Review of the Trading Book
Quants propose an allocation method for internal model capital charges
Can bankers stop the trading book killer?
FRTB won’t obliterate your whole markets business any more, just some very specific parts
Fund-linked structured products face extinction under FRTB
Global market risk capital standards carry sky-high charges for fund derivatives
Banks rethink fund-linked trades ahead of FRTB
Some stop offering longer-dated structured products ahead of expected 2023 rules in EU
FRTB: Singapore’s banks eye internal models for forex desks
New market risk regime dangles capital savings for own-models approach
Revised Basel output floor to bind 41% of European banks
Cap on modelled capital will also constrain 6% of Americas banks and 34% of banks from the rest of the world
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
Regulators demand action on rogue market risk models
Thirteen banks out of 49 face remedial action
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears