Standardised approaches
Taking the FRTB plunge
Banks entering chilly FRTB waters for first time facing fresh challenges
Regulatory fragmentation drives Basel RWA impasse
European Commissioner rejects model floors that US regulators have already imposed
FRTB sends banks around the bend
Banks uncover hidden challenges of data, computing power and need for joined-up approach
Banks plan risk factor exclusion to avoid FRTB surcharge
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Basel to allow IRB models for low-default portfolios
Impact studies showing significant capital increase prompted committee rethink
FRTB standard rules cause worries about duplication
Sensitivity-based approach means “we have to do everything twice”, complains one head of trading
Technology: banks start thinking inside the box
Monolithic capital markets systems are giving way to microservices, containers and APIs
Banks fear costs from loss of AAD under simpler FRTB rules
Trading book regime may force use of more expensive and time-consuming ways of computing risk sensitivities
The P&L attribution mess
FRTB model approval regime dogged by confusion and controversy
Doomed loop: Europe gets creative on sovereign bond risks
Political and prudential risks in huge bond-holdings force experts to consider new ideas
Details of vital FRTB model test still up for grabs
Banks argue valuation adjustments should be left out of the model approval process
Regulator of the year: Australian Prudential Regulation Authority
Apra wins praise for pushing business case for op risk modelling and scenario analysis
Fed paper stirs debate on new operational risk charge
Researchers offer academic justification for Basel's standardised measurement approach
Banks reject Basel’s IRB data shortage claim
Internal models remain more accurate than standardised approaches, say industry responses
Euro banks to bear brunt of €115bn SMA capital hike: study
"You will get some winners and some losers, but with this it's mostly losers," says ORX's Carrivick
Basel Committee’s CVA shocker ignores trade-offs
Ditching own models for CVA risk is too binary and eliminates possibility of further dialogue
SMA proposal fires up op risk managers
Banks say backward-looking SMA is easily gamed and will lead to high and volatile capital charges
Regional banks may benefit from Basel CVA surprise
Basel Committee decision removes potential source of competitive advantage for large dealers
Getting in shape for the FRTB has to start now
Many banks are lagging behind when it comes to ensuring they are fit for the new trading book regime
In operational risk, the future ain’t what it used to be
Just because we can't measure op risk accurately doesn't mean we should give up, argues Peter Sime
Banks to ramp up credit risk if Basel scraps internal models
Lobbyists warn banks will add more high-yield debt if forced to follow standardised approach
Internal model cull to create ‘perverse incentives’
Isda AGM: Standardised capital approaches create herding behaviour, says JP Morgan exec
FRTB packs bigger-than-expected capital punch
Industry study challenges regulators' estimate of a 40% capital increase
European banks face steep op risk capital hike from SMA
Op risk accounts for 28% of US banks’ RWAs, compared with 12% at European banks