Non-modellable risk factors (NMRFs)
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
FRTB is here – now it’s up to local regulators
Each jurisdiction must produce its own version of FRTB; until then, banks are hanging back
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
Final FRTB internal model rules get mixed reviews
Bankers divided on whether changes to two key tests will ease ‘penal’ capital charges
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
EU lawmakers delay FRTB capital charges
Leaked paper potentially pushes market risk capital charges beyond Basel’s 2022 deadline
FRTB spurs data mining push at StanChart
Bank building “single golden source” of trade data in a bid to lower NMRF burden
Wells Fargo opts for FRTB’s standardised approach
Risk USA: Complexity of internal models drives big bank to an approach designed for smaller ones
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Risk.net podcast: DTCC’s Lind on FRTB, data pooling and NMRFs
As many as 70 banks globally could adopt internal model approach for market risk capital