Internal models
Goldman’s 2020 VAR was its highest in nine years
Trading revenues at the New York-based dealer were the highest in a decade
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
Never mind the buffers: Covid reveals deeper flaws in Basel III
Tweaking discretionary capital buffers won’t address all the prudential issues raised in 2020
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
EU banks’ credit risk estimates deteriorated in Q2
Weighted average corporate borrower PD across countries climbed to 2.04%
EU banks’ Q1 credit risk estimates show little Covid effect
Probability of defaults for retail exposures edged up only slightly quarter-on-quarter
Credit scenario update drives UBS loan-loss reserves higher
Gloomier US outlook contributes to $272m of Q2 provisions
Advanced approaches continue to bind Citi in Q2
Modelled RWAs fall slower than standardised over the three months to end-June
US banks face capital hit from resurgent advanced approaches
Banks pushed onto internal models wrestle with procyclical capital charges
Time for the standardised approaches to shine
Banks are playing a canny game of capital optimisation by toggling between internal models and regulator-set approaches
Credit Suisse nets 37% sovereign RWA cut
At end-2019, 75% of its government portfolio was under the standardised approach, up from 14% the year prior
Data error inflated Wells Fargo’s op risk capital by $5 billion
Sharp fall in Q1 RWAs followed removal of duplicate data
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
FRTB comes too late for Covid crisis
Expected shortfall would stop Basel 2.5 duplicate capital charges, but backtesting still a problem
Goldman hits the Collins floor
Changes to loss-given-default models caused advanced approaches credit RWAs to plummet
Model flaws continue to dog ABN Amro
Trim added €10 billion of risk-weighted assets in 2019
Model review adds €13bn to ING’s RWAs
Trim effects projected to raise CET1 requirement by at least €600m
Some EU banks can’t explain lowball credit model outputs
Negative unjustified deviations in capital requirements most widespread for corporate portfolios
HSBC leads EU banks on VAR measures
In aggregate, IMA risk exposures focused on traded debt
Outsourced model validation: is it viable?
Consortium promises cost savings in outsourcing model validation, but some say pooling doesn’t float
Five eurozone G-Sibs cut op RWAs in Q3
Deutsche Bank cut €5.7 billion quarter on quarter
Validation of index and benchmark assignment: adequacy of capturing tail risk
This paper provides practical recommendations for the validation of risk models under the Targeted Review of Internal Models (TRIM).