Internal models
Banks brace for assault course of FRTB implementation
Dealers face test of endurance to win model approval and avoid penal standardised charge
Discarding the AMA could become a source of op risk
Basel Committee's "tantrum-like reaction" is not supported by evidence, say practitioners
Conference hears fierce criticism of Basel op risk plans
Op risk professionals pour scorn on SMA charge, but some bank experts speak out in favour
Basel II versus III: a comparative assessment of minimum capital requirements for internal model approaches
This paper provides a comparative assessment of the minimum capital requirement (MCR) in three prominent versions of the Basel regulatory framework.
UK banks won't face FRTB capital hike – BoE official
Policy expert says most trading risks already captured under Pillar 2 framework
UK wrong on volatility adjustment, says Insurance Europe
Olav Jones weighs in to debate that could see Eiopa overrule PRA
Standardised approaches: the risks of reform
Comparing modelled and standardised capital may raise more questions than it answers
Imap exposes differences on one-in-200-year risks
Diverging views remain on calibration of stresses
Dealers slam Basel plans for hard-to-model trading risks
FRTB would prevent modelling for too many risk factors, critics claim
Banks find huge capital jump in FRTB impact study
QIS shows five-times increase under revised standardised approach to market risk
Smaller China banks opt for internal credit risk modelling
Basel III and a rise in bad loans drive banks to reassess credit risk management
Too many questions in Basel floor plans, industry claims
While standardised rules are being revised, banks say they can't make a call on floors
US insurers under pressure to ramp up modelling frameworks
US insurers reviewing models as regulations begin to bite
Banks claim trading book rules will hit hedges
Regulatory measures of risk would leap 133% for some positions, warns ING
Hit the floor: banks fear Basel curbs for capital models
Regulators argue a backstop is needed to avoid too-low modelled numbers
Basel floors must be below 75% to preserve models, banks say
Regulators plan to floor modelled capital at a percentage of standardised approaches
Insurance proxy modelling: the weight of success
Clive Davidson reviews how proxy models have developed since their inception a decade ago
PRA: internal model insurers need a ‘plan B’
Firms must prepare in case their models are rejected, says regulator
Solvency II equivalence: uncertainty frustrates model applications
Use of volatility adjustment for third-country subsidiaries also in doubt
Good documentation central to model approval, say supervisors
Standard-forumula firms also face more stringent requirements
Imap burden 'exorbitant' - Allianz CRO
Documentation for approval process running to 110,000 pages
Unanswered questions remain on model change policies
Status of reactive parameters left open by Eiopa
UK insurers’ internal model validation processes 'hugely inefficient'
Firms struggling with validating external models, expert judgement and risk dependencies, say experts
Basel securitisation rules revisions criticised
While the December proposals incorporate many of the industry's comments, banks claim the rules are still too harsh