Standardised approaches
After bruising EU model review, banks ask: ‘Why bother?’
Post-Trim changes erode capital savings from internal models while raising their running costs
Isda disputes excessive FRTB charges for carbon trading
EU carbon certificates show lower volatility and higher netting than Basel approach assumes
Fed casts doubt on future of Basel internal models in US
Banks warn Fed cannot keep commitment to avoid Basel III capital hike if it forbids models
RWA density rises at Citi, BNY Mellon and State Street
The eight US G-Sibs reported total assets of $14.2 trillion, up 5% quarter on quarter
Range accruals under spotlight as Taiwan prepares for FRTB
Taiwanese banks review viability of products offering options on long-dated rates
Citi edges towards Collins floor
The gap between standardised and advanced RWAs has shrunk significantly during Q1
ANZ expanded credit model in Q1
Risk density of overall loan book declined quarter on quarter
Op risk update lops £72m off NatWest’s capital requirement
RWAs for operational risk fell 4% in Q1
Share of small EU bank assets under standardised approach grew in 2020
At small banks, SA covered 88% of credit exposures
Portfolio shifts aided credit RWA reductions at Dutch banks in 2020
At ING, 0% risk-weighted sovereign exposures kept a lid on RWA inflation
Optimisation firms prep for SA-CCR boom
Flush with new cash, vendors ready rebalancing services ahead of risk-sensitive leverage framework
HSBC pares down market RWAs after model update, VAR change
Risk-weighted assets for trading exposures fall $2.8 billion quarter on quarter
A review of the foreign exchange base currency approach under the standardized approach of the Fundamental Review of the Trading Book and issues related to the pegged reporting currency
When we adopt the parameters in the BCBS standards to calculate the delta risk charge, anomalies in the risk charges for the same risk exposure are found under different approaches and under different reporting currencies. The anomalies increase when the…
EU targets late 2024 for FRTB internal model reporting
Final IMA rules to be adopted in mid-2021 with three-year implementation period
Barclays leads Europe’s banks on trading risks
Top 20 banks with most trading risks accounted for 79% of market RWAs across EBA sample
Four in five European banks don’t model their op risks
Advanced measurement approach is the preserve of large banks
Quantification of regulatory capital for management of operational risk in banks: study from an emerging market economy
This paper studies the various methodologies used by an Indian bank in its operational risk management activities: these include loss database analysis, risk control self-assessment and key risk indicator (KRI) identification.
Output floor to drive Basel III capital increase at EU banks
About 40% of total Tier 1 capital surge due to limits on modelled RWAs
Parallel lines: EU begins fight over Basel output floor
Leaked plan to exclude buffers from floor would please EU banks, could anger Basel and US
SA-CCR proves a bitter pill for US banks to swallow
Dealers concerned new regime will punish some business lines with rise in risk-weighted assets
Systemic US banks’ RWAs edge lower in Q3
Bank of America reaps benefit of op risk cut
Credit exposure under the new standardized approach for counterparty credit risk: fixing the treatment of equity options
The new standardized approach for measuring counterparty credit risk exposures (SA-CCR) will replace the existing regulatory standard methods for exposure quantification. This paper provides empirical evidence that the SA-CCR parameters are not aligned…
Wells Fargo eyes escape from Collins floor
Advanced and standardised RWAs are just 1% apart
By crushing RWAs, Goldman sends its capital ratio soaring in Q3
Risk-weighted assets fall 5% in three months