Internal models
ECB model review continues to eat at ABN Amro’s capital
Trim effects add €1.3 billion of RWAs in Q1
Citi’s credit risk measures diverge
Standardised RWAs rise; modelled RWAs fall in Q1 2019
Quants propose new method of calculating op risk VAR
So-called ‘incremental value-at-risk’ offers future snapshot of op risk exposure, authors say
Converging on sound model risk management practices
Although most banks are progressing rapidly towards a certain standard in MRM practices, the rate of progress is uneven and so are the ambition levels. Management Solutions provides a summarised overview of the state of MRM evolution and how banks are…
At Credit Suisse, RWAs leap over Sfr5 billion
Credit RWAs grew 4% due to a combination of model, accounting and regulatory changes
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
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
Munich Re's P&C capital charge swells €2bn in 2018
Property and casualty capital requirement pushes overall SCR to €14.7 billion
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
Common validation techniques for risk proxies found wanting
Research finds two out of three methods for checking index prices as proxies don’t properly gauge tail risk
DTCC members add $26bn to default funds in 2018
Clearing house's own contributions dipped $8.5 million last year
Clearing members inject $2.5bn to JSCC default funds in 2018
Higher contributions likely reflect increased exposures at the CCP
UK banks find various ways to de-risk
Risk-weighted assets fall despite loan growth at four of big five lenders
Sberbank's switch to IRB approach lifts capital ratio
Despite the RWA increase, the bank's CET1 capital ratio rose 20 basis points, to 11.6%
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Model updates buttress Allianz's solvency ratio
Solvency II requirement less sensitive to rates, credit volatility than 2017
Model woes swell ABN Amro RWAs
Trim and model reviews add €5 billion in risk-weighted assets
Now under aegis of ECB, Nordea RWAs spike 29%
Imposition of Swedish mortgage floor adds €10.6 billion of risk-weighted assets alone
Banks divided on op risk approaches
EU banks favour standardised approach, North American and Australian lenders the AMA
Goldman edges closer to Collins floor
Six of the eight US G-Sibs are currently below the Collins floor
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
EU banks punished over lowball credit risk estimates
Two of 17 firms facing follow-up inspections will be hit by capital add-ons
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements