Standardised approaches
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
Banks, regulators clash over stress testing
OCC and NY Fed officials defend regulatory stress tests despite criticism from bankers
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
Prop traders rebuffed by FCA on capital modelling
Non-banks may have to use tougher market risk approach than bank competitors
EBA urges European banks to step up IFRS 9 preparations
Banks not yet in testing phase face 32 basis point extra capital hit, report finds
Focus on Basel output floor calibration misses the point
Until all the final standardised approaches are known, the floor has little meaning
Basel capital floor faces credit risk eclipse
Impact of capital floor depends on new credit risk rules and changes to treatment of provisions
FRTB standardised approach threatens commodity hedging
Basel language would force unnatural treatment of offsetting positions
ECB rate risk stress test renews fears over internal models
Banks alarmed by short timeline and opaque supervisory use of IRRBB stress test
EBA shelves CVA charge plans after twin defeats
Ongoing rule changes at Basel and EU could allow future bid to end corporate exemption
Fast and accurate KVA using AAD
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Solving the FRTB puzzle
Sponsored FRTB forum: IHS Markit
Banks seek capital relief for ECL reserves
Capital rules fail to recognise risk-reducing effect of loss reserves, lenders say
EBA call for simpler IFRS 9 phase-in applauded
Lawmakers aim to fast-track IFRS 9 rules in the revised Capital Requirements Regulation, but are also urged to clarify them
Basel takes flak over FRTB impact assessment
Market participants say capital hit has been underestimated
Inconsistent FRTB model guidance vexes dealers
Risk models pulled in opposite directions by P&L attribution test and non-modellable risk factors
EU banks fear fresh blow on Basel credit risk capital rules
Possible revision to standardised approach would favour US banks for corporate exposures
Basel IV – a timeline
How Basel's plans to tighten control over banks' internal models have evolved since 2014
Doom loop reloaded: CRR II goes soft on sovereign debt
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
Basel still pushing for capital model floors
Bank treasurers call plan to underpin internal models with standardised floors “unmanageable”
Basel considered axing standardised approach to CVA calculation
Committee discussed axing standardised and basic approaches in recent months, sources say – but ruled out both
EBA: small banks will be worst hit by IFRS 9
Standard approach banks disadvantaged by higher capital impact and implementation burden
Tweaks to standard op risk method not enough, experts warn
Basel Committee to integrate insurance and divestitures, but SMA still lacks forward-looking approach