Capital requirements
Basel op risk modelling blow shifts focus to Pillar 2
Demise of AMA leaves industry needing risk-sensitive approach for calculating top-up capital, says consultant
Reinsurers take on role providing Solvency II capital relief
Firms such as RGA are covering surrender risk, offering to replicate matching adjustment
CVA dismay: final Basel rules disappoint dealers
Minor tweaks don’t make up for removal of internal modelling, say banks
Huge capital savings at stake in STM swaps debate
Estimates show portfolio would generate 250% more capital in worst-case version of new margining treatment
FRTB, CCAR and bonus caps for prop traders
The week on Risk.net, December 16-22, 2017
Standard bearer – Leading the IFRS 17 charge
With wins for regulatory reporting, economic scenario generation, Solvency II and stress-testing products in the 2018 Risk.net Market Technology Awards, Moody’s Analytics is well positioned to meet the demands of changing regulation such as IFRS 17
CVA pay day: calculation arbitrage boosts bank profits
Lack of convergence allows some banks to benefit from an arbitrage between booking and pricing the adjustment
Basel III changes set to create big winners and losers
Capital hit for G-Sibs ranges from 28% drop to 43% jump, QIS reveals
Basel rules risk fragmentation after key compromise
Basel Committee ready to release new accord but patchy adoption of internal model floor and FRTB expected
Dealers warn of FRTB impact on funding programmes
EMTNs issued by treasury functions may need to be moved to trading desk because of new market risk rules
FRTB: Basel mulls capital relief for internal model desk fails
Market risk group member describes intermediate capital charge for desks that marginally fail the P&L attribution test
ANZ’s Whelan on China, data science and ROE
Risk30: markets business at ANZ is picking new targets
Goldman swaps assets drop $140bn after margin change
Move follows guidance from US regulators; no word from Goldman on capital impact
Fed supervisor presses banks to address CCP exposures
Regulator says more information is needed to fully understand the risk of cleared trades
Volcker desks unlikely to meet FRTB requirements
Some trading activities will need to be reorganised to comply with market risk rules
Bankers lament growing global regulatory fragmentation
Piecemeal roll-out of Basel III will be “enormously costly”
Fed postpones G-Sib capital change
Industry reprieve granted on proposal that threatens $10 billion capital increase
Credit risk models can dodge procyclical bias – Fed adviser
Excluding some metrics makes A-IRB retail portfolio risk model more stable
CFTC commissioner wants say over bank capital rules
Inability to influence SLR is “incredibly frustrating”, says Quintenz
AIG decision threatens too-big-to-fail insurer label
Fragmentation of international rules on cards as US denounces systemic designations
Emerging Asian markets question one-size-fits-all bank rules
Nations such as the Philippines seek a more proportionate approach to level the playing field with global lenders
Capital rules may be too risk-sensitive, Basel fears
Complexity is slowing roll-out of standards, says Basel Committee deputy
Fed G-Sib plan threatens 50bp jump in FCM capital
Banks rail against proposals that would scoop up $46trn in cleared trades
Fed official voices support for simpler capital regime
US regulators may consider combining some capital ratios into a single measure