Banking book
Default risk charge: modeling framework for the “Basel” risk measure
This paper presents a comprehensive model framework for DRC that is compliant with the revised Basel regulatory framework.
IASB revives IFRS 9 project to recognise portfolio hedging
Banking book behavioural complexity could still stymie attempts to facilitate macro hedging
FRTB survey: risk transfer shake-up hits home
Basel’s new market risk capital framework imposes strict conditions on internal risk transfers between the banking and trading books. These promise to load new costs and operational burdens on dealers. Plenty of unanswered questions on the specifics…
FRTB: banks fearful of risk transfer missteps
Short credit and equity positions held in banking book will be caught by market risk capital requirements
Bankers fear confusion over Basel IRRBB disclosures
Differing discount methods and EVE approach will need explaining to investors
Basel interest rate risk disclosures "problematic"
IRRBB could reveal commercially sensitive information and mislead analysts
Default risk floors threaten €72bn of RWAs in EU
Risk.net analysis finds PD floor would hit a swath of low-risk corporate loans at the biggest EU banks
The drawn-out death of a standard IRRBB charge
For 23 years, regulators have been trying – and failing – to standardise banking book rates risk
Basel abandons plans for Pillar 1 rates risk charge
No standard charge for banking books, but souped-up Pillar 2 still worries critics
Step ahead of shadow banks and stay within your risk appetite
Fraser Schad, IBM, explains how banks can survive and thrive in a world of shadow banking
Keeping score: Evolving wholesale credit on a maturity model
Most banks do not have an adequate risk framework in place to take advantage of wholesale opportunities
Absa: Gaining a single view of risk across both trading and banking books
Learn how Absa Corporate & Investment Banking, member of Barclays, is using IBM Algo Credit Manager to streamline operations and accelerate insight into exposure
Basel to unveil ‘Pillar 1-lite’ approach to rate risk
First public consultation expected this month in long-running project
Banks see clash in Basel's trading and banking book work
Draft rules on interest rate hedging could set back arbitrage fix, critics claim
Basel cuts credit spread charge from banking book work
Charge was felt to be "too difficult to capture" without complex rules
Impact study postponed for Basel rate-risk project
An impact study for a Basel Committee proposal on the standardised regulation of banking book interest rate risk has been pushed back until later this year. Regulators blame the delay on banks' IT constraints
Basel rates split heralds soft landing, banks hope
Regulators have spent two years exploring a possible Pillar I charge for interest rate risk in the banking book, but are said to be more divided now than when they started. Industry sources are hoping it results in a cautious first consultation paper.
Banking book rate risk project splits in two
Designing a new, standardised charge for interest rate risk in the banking book is proving difficult – and regulators are now also considering an update of existing guidance
Basel rate-risk project sets up scrap over deposit models
Attempts to set international capital rules for banking book interest rate exposures are hitting sensitive ground as banks warn lending will suffer if regulators cap deposit maturities
Examining the current state and future direction of enterprise stress testing
Although the primary reason for regulatory stress-testing in today's banks is to ensure capital adequacy, the ultimate goal is long-term stability in the financial markets with better-run banks. For that reason, stress testing is an evolving, high…
German banks attack Basel charge for banking book rate risk
Regulators want to apply an explicit charge to the interest rate risk sensitivity of loans and deposits, but banks fear it will not reflect the real risk of these products
How regulatory stress testing is shaping the future for banks
White paper: IBM Business Analytics
Incentives remain in banking book vs trading book choice
Regulators have attempted to address a flaw within Basel II that gave banks an incentive to hold assets in the trading book. But Basel 2.5 may have gone too far, and made it more attractive to place assets in the banking book instead. By Giovanni Pepe