PRA's pot shots threaten Simm's global ubiquity
UK regulator’s push to improve model governance could tip non-cleared derivatives market into chaos
Source: risk.net
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Top News In Internal Models Today - Breaking & Trending Today
Why FRTB backtesting loves volatility, but hates hedges
Crucial P&L test for internal models easier to pass if price swings are large, or desks poorly hedged
Source: risk.net
EU eyes fix to FRTB's capital asymmetry for govvies
Banks say French presidency proposal would see PD floor slashed for sovereign bonds under IMA
Source: risk.net
US banks underestimate loan losses in Fed stress test
Systemic lenders predict 34% lower hit to their loan books in latest DFAST exercise
Source: risk.net
BMO sees $6.3bn RWA increase from capital floor add-on
The bank is the first of Canada’s big five to be bound by the floor as implemented in 2018
Source: risk.net