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The European Central Bank identified 900 issues with the internal market risk models used by 31 banks through its years-long audit – of which over one-quarter were designated “high severity”. The ECB’s Targeted Review of Internal Models (Trim), which kicked off in 2016 and closed last year, identified 824 specific deficiencies with the in-house models for generating market risk capital requirements used by banks in scope of the exercise, plus additional problems following consistency checks Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content. To access these options, along with all other subscription benefits, please contact [email protected] or view our subscription options here: http://subscriptions.risk.net/subscribe ....
Barclays had the largest amount of market risk-weighted assets of the banks featured in the European Banking Authority’s latest transparency exercise. The UK lender had €39.1 billion ($47.8 billion) of this kind of RWAs, used to set capital requirements for trading risks, as of end-June 2020, equal to 11% of its total RWAs. HSBC had the second-most market RWAs, with €31.4 billion, making up 4% of its total, followed by BNP Paribas, with €30.3 billion. The combined market RWAs of the 135 named Only users who have a paid subscription or are part of a corporate subscription are able to print or copy content. ....