Internal models
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
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Paper of the year: PJ de Jongh, Tertius de Wet, Kevin Panman and Helgard Raubenheimer
South African academics pioneer a quick and easy way of estimating op risk capital
Global capital rules for insurers must allow internal models – ABI
European firms should be free to use in-house models for insurance capital standard, even if US firms cannot