Standardised approaches
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
Basel set to hammer Japanese megabank capital ratios
Sharp increase in risk weights for unrated corporates could lead to 30% jump in RWAs
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
‘Catching the outliers’ does not always make sense for Basel
The capital impact of Basel III on Nordic banks is disproportionate to the risks they face
North-South divide: Basel makes Nordic and Dutch banks bristle
Lobbyists confident EU policymakers can be persuaded to implement softer credit risk rules
Doubts cast on Europe’s IFRS 9 transition period
Dynamic transition viewed as too complicated for banks to use or investors to understand
Basel heading for ‘rotten’ compromise, warns EU lawmaker
US commitment to FRTB is essential to persuade Europe to adopt a 72.5% output floor