US banks' stress test projections stray further from Fed's in 2023
Average gap between Fed- and bank-estimated depletions more than double from previous two DFASTs
Source: risk.net
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Citi's stress-test estimates out of sync with Fed's
Bank lowballed capital hit in DFAST 2023 more than any other US systemic lender
Source: risk.net
Citi's CVA charge up 7% in Q1
Bank retains the highest capital requirements of any US dealer, ahead of JP Morgan and Bank of America
Jp Morgan Nited States Us Credit Valuation Adjustment Cva Counterparty Credit Risk Counterparty Risk Credit Spreads
Source: risk.net
Regulators' remorse: SVB and the case for IRRBB capital charges
Basel Committee chair among those who say Pillar 1 capital requirement could have helped control SVB risks
United States Pablo Hern Silicon Valley Bank Basel Committee On Banking Supervision Basel Committee Banking Supervision
Source: risk.net
US arms of Credit Suisse, SMBC, Santander stumble on VAR
Breaches of trading forecasts in Q1 result in higher value-at-risk multipliers for the trio
United States Credit Suisse Sumitomo Mitsui Banking Corporation Wall Street Suisse United States Morgan Stanley
Source: risk.net
JP Morgan on course to escape Collins floor
Gap between standardised and modelled RWAs at its smallest since 2016
Jp Morgan Risk Quantum Common Equity Tier Nited States Us Isk Weighted Assets Rwas Standardised Approaches
Source: risk.net
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
Basel Committee On Banking Supervision Basel Committee Banking Supervision Fundamental Review Trading Book Basel Committee On Banking Supervision Bcbs
Source: risk.net
Model risk management is evolving: regulation, volatility, machine learning and AI
Thomas Oliver, head of model validation at Quantifi, explores how the model risk management (MRM) landscape is changing in response to geopolitical uncertainty,
United States United Kingdom Thomas Oliver Credit Suisse Silicon Valley Bank United Kingdom Prudential Regulatory Authority
Source: risk.net
RBI, ING's op risk charges inflated by AMA updates
RWAs rise a combined €4.8 billion at the two banks
Raiffeisen Bank International European Union Risk Quantum King Group Raiffeisen Bank International Rbi Entral And Eastern Europe Cee
Source: risk.net
Volatility pushed HSBC's modelled market risk up 37% in Q3
Erratic markets in Europe and Asia blamed for $6.4bn increase led by VAR and SVAR-based charges
Risk Quantum Nited Kingdom Uk Alue At Risk Var Stressed Value At Risk Svar Isk Weighted Assets Rwas Market Risk
Source: risk.net