Internal models method (IMM)
Model and policy changes behind billions in UK bank RWA shifts
Net capital charges of £368 million across five lenders attributable to model updates alone
Capital savings from new IM regime elude dealers
Slow model development and approval processes mean banks yet to see benefits expected under margin rules
Banks say Europe’s CVA proxy-spread plans lack flexibility
Dealers welcome EBA proposals but say limited number of eligible counterparties means few benefits
EU regulator dampens SA-CCR reform hopes
Isda AGM: EBA acknowledges approach’s shortcomings, but warns Basel is not reconsidering
Hidden benefits of the Fed’s model validation push
Incidents such as the London Whale losses show an overhaul of model validation should be welcomed, not maligned
Forge ahead of the FRTB
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Internal model cull to create ‘perverse incentives’
Isda AGM: Standardised capital approaches create herding behaviour, says JP Morgan exec
New trading book QIS tackles correlation gripes
Changes proposed for correlation, exotic derivatives and hard-to-model risks
Standardised approaches pile up capital and data woes
Banks round on one-size-fits-all rules for market, credit and op risk
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
ECB seeks end to capital carve-outs worth €130bn
On Thursday, eurozone bank supervisors will be asked to give up dozens of safe harbours
Capital floors could spur risk-taking – Swedish FSA
"Very careful" calibration needed to avoid bad incentives, says senior supervisor
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Basel floors must be below 75% to preserve models, banks say
Regulators plan to floor modelled capital at a percentage of standardised approaches
Credit exposure models backtesting for Basel III
The Basel Committee on Banking Supervision has introduced strict regulatory guidance on how to validate and backtest internal model methods for credit exposure. Fabrizio Anfuso, Dimitrios Karyampas and Andreas Nawroth incorporate these guidelines into a…
Fed's Pykhtin: new risk measure less punitive than CEM
Capital benefits also remain intact for modelling banks, says Fed official
In-house system of the year: Royal Bank of Scotland
A 30-fold increase in its computing grid, enabling coverage of 90% of the bank's derivatives business - a two-year overhaul of the counterparty risk framework at Royal Bank of Scotland wins this year's in-house system award
Risk USA: Regulators cannot hide from bank models, says Osfi’s Zelmer
Leverage-only approach would set prudential rules back 50 years, warns senior Canadian regulator
Basel III blues: US politicians push for new QIS
Basel III is losing traction. Already hit by implementation delays and a loss of support from senior policy-makers, some US politicians are now calling for a national impact study – mirroring developments that saw Basel II grind to a halt. Michael Watt…
Banks fear outcome as Basel Committee wraps up RWA review
Mending the RWA machine
Writing love letters to models
Love letters to models
Model foundations of the Basel III standardised CVA charge
Model foundations of the Basel III standardised CVA charge
Beyond Basel 2.5: regulators prepare trading book review
Beyond Basel 2.5