Standardised approaches
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter
Switch to internal model helps HSBC cut counterparty risk by 18%
HSBC cut counterparty credit risk-weighted assets by 18% – $10.4 billion – in the second quarter
Generali weathers Italian bond turbulence
Solvency II SCR ratio dips to a still lofty 201% in the first half
StanChart culls debt, switches model, and market RWAs drop
Structured product RWAs now calculated using internal model, saving $1.1 billion
BBVA gets forex model update from ECB
Foreign exchange risk added €366 million in capital requirements in 2017
BAML drops below Collins floor
BAML becomes the sixth big US bank to report higher standardised RWAs than modelled RWAs
Implementing Basel III – the view from Europe
EU approach to new credit risk framework must recognise local market structures, say banking experts
BIS renews claims of capital 'gaming'
Modelled capital requirements for identical portfolios can differ by up to 4%, study shows
Basel III ratios bolster bank resilience – BIS
Analysis shows regulatory minimums protect banks from distress
EU bank securitisation exposures continue to fall
ECB data shows securitisation exposures as a percentage of total risk exposures 78% lower than in 2008
Take-up of credit modelling varies at European banks
Percentage of credit RWAs calculated using IRB approaches ranges from 42% to 91% across large dealers
Citi’s CRO on the importance of risk sensitivity
Brad Hu talks modelling, CECL and setting risk culture
TD Bank freed from Osfi capital floor
As a result, the bank’s CET1 jumped to 11.8% from 10.6% in the previous quarter
New capital floor saves CIBC C$244 million
Switch to Basel II-based floor adds 16 basis points to bank's CET1 ratio
Five US banks below Collins floor
Morgan Stanley, JP Morgan, Citigroup, State Street and Wells Fargo had higher standardised RWAs than modelled RWAs
Westpac's capital charge rises as securitisation rule bites
Securitisation RWAs jump from A$1.4 billion under new standard
Op risk capital: why US should adopt SMA today
No reason to delay roll-out of standardised approach, says TCH’s Greg Baer
Modelled RWAs fall at BNY Mellon
Gap between RWAs calculated under the two approaches shrinks
BAML approaches Collins floor
The gap between RWAs calculated under the two approaches continues to shrink
How banks should organise themselves for FRTB
New market risk rules require a rethink on trading and ops, argue market risk experts
Europe’s co-op banks face capital hit from new Basel rules
Sharp increase in risk weight for strategic equity stakes will capture ownership of apex banks
European FRTB capital charges hang by a thread
EU Council mulls introducing only reporting requirements in CRR II, or a very low scalar