Standardised approaches
Citi’s standardised and modelled RWAs drift apart
SA risk-weighted assets $38 billion higher than modelled equivalents
Tools to blunt credit risk popular at EU banks. But why?
Just 1% to 5% of exposures covered by credit risk mitigants
Pooled resources offer way to keep credit models afloat
Supervisors drive banks to seek more corporate default data and cost-effective model improvements
BNPP leads big EU banks in growing IRB exposures
French bank adds €25 billion of modelled exposures in third quarter
Model tweaks, loan growth lift Swiss bank credit RWAs
Credit RWAs grow Sfr26 billion at Credit Suisse and UBS year to year
Basel turns its attention to operational resilience
New working group will focus on business continuity in the age of cyber threats
French banks loaded with Italian risk
Six French dealers hold €47 billion of sovereign exposures
EU G-Sibs cut $14 billion in op risk
Banco Santander posted the largest decline – at 7% – with op RWAs falling to $70 billion
A linguistics approach to solving financial services standardization
In this paper, the author looks at what issues are created through linguistic variation when users of a language or languages attempt to ensure that there is a shared conceptual understanding in the financial domain.
New NMRF rules will push more desks to standardised approach
Restrictions on use of proxy data will bar banks from using internal models, conference hears
FRTB could ‘kill’ local markets – South African banks
Dealers urge South African Reserve Bank to depart from Basel standards on NMRFs
Corporate loan RWAs doubled by standardised approach
RWA densities for corporate loans under standardised approach stand at 94%, for A-IRB just 43%
Morgan Stanley RWAs drop as loans fall and VAR dips
Standardised RWAs fall 4% to $370 billion
Basel III op risk capital savings dissipate for G-Sibs
Median savings shrink to 5.1% from 19% at end-2015
Standardised market RWAs on the rise at EU banks
Standardised approach-generated RWAs increase €4.7 billion across 12 banks
Modelled market risk falls for UK banks as standardised risk rises
Barclays had the lowest percentage of market RWAs calculated under IMA, at 49.6%, and Lloyds Banking Group the highest, at 86.1%
A third of eurozone banks fall short on IRB model standards
Twenty-one of 65 ECB-surveyed banks' internal model practices non-compliant with EU rules
TD Bank expands credit risk model
Retail A-IRB assets grow 12% quarter to quarter
'Big Four' Aussie banks grow credit risk
Firms have grown modelled RWAs by 31% and cut standardised RWAs by 56% in five years
CIBC's Barbados woes incur $44 million capital charge
Sovereign credit risk-weighted assets jump 19% as Barbadian loans sour
European banks blitz non-modelled credit risks
Across 14 G-Sibs, IRB assets fell 10% over three years, while standardised assets dropped 20%
Model revamp hikes UBS credit RWAs
Calculation tweaks made to scrap higher regulatory RWA multipliers
A review of the fundamentals of the Fundamental Review of the Trading Book II: asymmetries, anomalies, and simple remedies
This paper highlights some anomalies and asymmetries in the new market risk paradigm of the Fundamental Review of the Trading Book (FRTB) framework.
Top European banks shed $32 billion in op risk
5% average drop across 16 European banks reported quarter to quarter