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EBA to scrutinise banking book models amid macro turmoil

Banking regulator raises concerns as bankers doubt their IFRS 9 and IRRBB models

Delphine reymondonEuropean banking authorityEuropean banking authority ebaNterest rate risk in the banking book irrbbInternal modelsPillar 2Ifrs 9Credit risk

Modelled RWAs diverge from standardised at Wells Fargo

Gap between the two methodologies hits $152bn – its widest ever

Wells fargoRisk quantumNited states usIsk weighted assets rwasCapital ratioCapital requirementsDodd frank actInternal modelsMarket riskStandardised approachesIsk quantum

Securitisation and capital requirements – a match (not) made in Basel? | Hogan Lovells

The updated Basel III framework is the principal response of the Basel Committee to the global financial crisis. The updated framework makes wide-ranging changes to the perceived.

United statesHong kongUnited kingdomEuropean councilEuropean banking authorityEuropean parliamentBasel committee on banking supervisionEuropean commissionPrudential regulation authorityFinancial servicesFinancial conduct authorityBasel committeeAssociation for financial markets in europeEuropean unionEuropean union withdrawalGroup of central bank governors

A-IRB to lose credit risk reach under Basel III

Americas banks expected to generate just 40% of RWAs using internal models, from 67% currently

Basel committee on banking supervisionBasel committeeBanking supervisionBasel committee on banking supervision bcbsEuropean banking authority ebaBank for international settlements bisHe americasDvanced internal ratings based approacha irbBasel iiiCredit riskCredit risk modellingXposure at default eadNternal ratings based irb approachIsk weighted assets rwasStandardised approachesOundation internal ratings based approachf irb

SA-CCR s sacrifice: who stands to lose from new capital rules

Risk.net research shows the potential for dealers to be left at a disadvantage to their foreign rivals

Basel committee on banking supervisionGreat schismBasel committeeBanking supervisionPrudential regulation authority praEuropean commission ecBasel committee on banking supervision bcbsNited states usNited kingdom ukStandardised approach to counterparty credit risk sa ccrCounterparty credit riskNternal model method immRegulatory arbitrageApital requirements directive crdCapital floorBasel iii

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