Standardised approaches
Morgan Stanley’s CVA charge swells 19% in Q1
Credit valuation adjustment capital charges have decreased at most G-Sibs year-on-year
Citi’s credit risk measures diverge
Standardised RWAs rise; modelled RWAs fall in Q1 2019
ING offloads stake in Indian bank, bringing capital relief
Market RWAs drop €2 billion following asset sale
At Credit Suisse, RWAs leap over Sfr5 billion
Credit RWAs grew 4% due to a combination of model, accounting and regulatory changes
Credit risk concentrations vary across big EU banks
The median G-Sib had roughly 60% of its credit portfolio exposed to counterparties outside its domicile
EU G-Sibs add €2.7bn of op RWAs in 2018
Op risk charge anticipated to jump €21.5 billion under Basel III
Sovereign risk weights cannot wait
Why reform of Basel rules is urgent – and how to improve on December 2017 proposals
Op risk capital to jump 45% for European banks under Basel III
Some banks could see capital increases of more than 60%
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%
FRTB 2.0: lower capital but high running costs
Revisions to market risk rules fail to ease complexities of internal models approach
Model expansion cuts Barclays' counterparty risk by 24%
Total CCR risk-weighted assets shrink on modelled exposure measurement approach approval
Banks hope final FRTB rules will ease NMRF burden
Internal models approach buoyed by more liberal rules on price observations and risk factor aggregation
VAR model under scrutiny as RBS’s breaches spike
Excessive backtesting exceptions lead to increase in capital multiplier
Metro Bank execs under scrutiny after loan probe snafu
Lender could see capital buffer rise after admitting regulator, not bank, discovered errors
Banks rocked by U-turn on FRTB equity risk weights
Risk managers warn of higher capital charge after Basel reverts to original 2016 treatment
EU, Canada banks lag rivals on IRB model coverage
Median bank has 78% of credit risk-weighted assets under IRB approaches
One-quarter of market risk not modellable
US banks have largest portion of capital requirement set by the SA
Goldman edges closer to Collins floor
Six of the eight US G-Sibs are currently below the Collins floor
Standardised approaches lose out in FRTB update
Ratio of standardised approach to IMA capital estimated to increase
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year