Internal models
HKMA offers fast-track model vetting in swaps hub pitch
Streamlined process could take just six months, says official
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
A Darwinian view on internal models
In this paper, Paul Embrechts reviews discussions on regulation within banking (Basel III and IV) and insurance (Solvency II and Swiss Solvency Test (SST)) from a historical, personal and academic point of view.
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
This tangled web: banks seek to contain systemic model risk
Network studies are being used to identify model dependencies and concentrations
Banks warned off machine learning for model risk
Banks acknowledge they “cannot hide behind a complex tool” to assess interconnectedness
Bank cyber chiefs grope for sound risk models
Vast scope of threats makes modelling unfeasible, say practitioners
XVA reaches far and wide
Sponsored Q&A: CompatibL, Murex and Numerix
Basel opts for aggregate bank capital output floor
Banks will have more flexibility on use of internal models, but calibration still undecided
EU regulators prepare to close Brexit loopholes
Isda AGM: new guidelines aim to prevent EU brass plates with large London operations
How Europe can fix the Basel IRRBB standards
Building an outlier test for interest income would be better than the standardised EVE approach
Monthly credit data review: gloomier than spreads suggest
David Carruthers of Credit Benchmark looks at banks’ credit risk data
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
Model risk managers eye benefits of machine learning
Ramp-up in regulatory scrutiny of model validation sees banks turn to black boxes
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
Regulatory blitz weakening model risk management, say banks
Smaller banks’ modelling practices under growing scrutiny, but ability to comply is stretched
Identification and capitalisation of non-modellable risk factors
Adolfo Montoro, Tim Becker and Lars Popken propose techniques for systematically capturing and categorising non-modellable risk factors and risk-adequate aggregation
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
Fed economist advocates combining internal models with SMA
SMA could act as a floor for calculating op risk RWAs, suggests Filippo Curti
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
FDIC’s Hoenig rounds on Europeans over Basel stand-off
Risk USA: Senior US regulator criticises focus on capital neutrality
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Europe arrogant to reject capital increase, says lawmaker
Parliamentarian hits back at European Commissioner's criticism of Basel model floors
Regulatory fragmentation drives Basel RWA impasse
European Commissioner rejects model floors that US regulators have already imposed