Basel Committee on Banking Supervision (BCBS)
Double trouble: don’t blur FRTB deadlines, warns ECB
Ignoring reporting model deadline could muddy capital approval cut-off
Basel III risk-weight changes to tax European banks most
Risk-weighting of IRB exposures to increase 2.8% overall
Some eurozone banks have thin leverage capital buffers
Tier 1 capital surpluses above regulatory minimums range between 31% and 123%
Banks seek new value for their efforts
As regulatory stress tests evolve and a new age of stress-testing approaches, firms are looking to maximise value by making the most of scenario-based analytics. John Voigt, principal solutions manager at SAS, explores the importance to institutions of…
Basel members speed up implementation of banking reforms
Most rules now adopted by more than half of member jurisdictions
Capital cut for synthetic securitisations splits regulators
European rulemakers wary of diverging from Basel standards
People moves: ING fills two top roles, RBS confirms Rose as CEO, and more
Latest job changes across the industry
Gaming tests, loss provisions and synthetic Libor
The week on Risk.net, September 28–October 4, 2019
Basel output floor to bind 29% of big banks
But risk-based capital requirements would constrain the largest number of international lenders
European banks set for 18.6% capital hike under Basel III
Model output floor and higher credit and op risk charges will drive most of the increase
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
Basel III capital shortfall estimate drops by €9 billion
Lower projected credit and market risk capital requirements and model output floor drive reduction
European FRTB proposals spark XVA overload fears
Banks warn of overly complex revaluation process and heightened risk of backtest fails
As too-big-to-fail banks shrink, non-systemic firms play catch up
Almost three-quarters of non-systemic banks have increased their G-Sib scores since 2013
Industry expects US FRTB proposals by year-end
Fed likely to co-ordinate progress with EU, which may also accelerate its timetable
Enria: no reason for EU to deviate from Basel output floor
ECB supervision chief urges lawmakers to implement contentious Basel III model constraints
Levelling the playing field of the FRTB’s forex rules
Hany Farag argues that changing the base currency may address FRTB forex asymmetry
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Podcast: Acerbi on backtesting ES and FRTB’s patchwork rules
Banque Pictet quant explains a new backtesting method for expected shortfall
The minimally biased backtest for ES
Acerbi and Szekely present a backtest for expected shortfall
Global banks fear Hong Kong frontrunning FRTB
Local subsidiaries of EU and US banks may be forced to adopt models before their parents
Europe’s regulators grope for value of software
In the US, the cost of software is not taken out of capital. Europe is fumbling for something similar
Buy side continues with IM prep despite delays
Firms looking at custodian types, docs and trading strategies to optimise margin
SA-CCR switch cuts leverage of two Japanese banks
Leverage exposures for Nomura and Norinchukin fall ¥4.7 trillion in aggregate