Non-modellable risk factors (NMRF)
FRTB managers face hard facts about risk factors
There are ways to reduce the capital charges caused by NMRFs, but they come at a price
The strange effect of US clampdown on FRTB models
Ban on internal models for trading book default risk could provide some banks with unexpected capital relief
EU banks fear Brexit battle over FRTB internal models
Bank of England approach looks easier, but that may not make much difference to model uptake
Banks find new uses for discarded FRTB models
Much-maligned IMA models are being upcycled and repurposed for internal risk management
US falls behind in race to match Europe’s FRTB launch date
Recent US bank failures could jeopardise planned January 2025 start date for Basel III
Early FRTB adoption piles pressure on Japanese banks
Bankers fear competitive pain due to lack of NMRF data, possible EU and US deviations from Basel
Banks turn away from FRTB internal models in Europe
Drawbacks mean even fewer model approval applications planned than past ECB survey suggested
EU banks fear outlier status on non-modellable risk charges
Dealers face disadvantage if EU implements more granular and costly version of FRTB than US, UK
FRTB starts ‘tug of war’ between front and back offices
Risk USA: dealers face trade-off between accuracy of pricing models and level of capital charges
Fed will start FRTB model approvals for US banks in 2021
Senior official says banks should now be deciding desk structure and readying backtests
Isda study reveals size of Covid’s trading book capital hike
Procyclicality led to aggregate 25% rise in market, CVA risk-weighted assets
EBA relaxes modellability hurdles for market risk capital
Flexibility granted for assessing NMRFs on options, but constraints remain on committed quotes
G-Sibs eye simpler market risk calculations in Hong Kong
HKMA may need to ease rules on NMRFs to incentivise use of internal models
FRTB costs force banks to weigh IMA desk by desk
Risk USA: Some desks “may not be able to pass these more rigorous standards”, says Morgan Stanley FRTB lead
Banks join forces on model development utility
Crisil is working with HSBC and three other banks on platform to share model-building tools
VAR breaches push NatWest Markets’ RWAs higher
Turbulence in rates behind higher market risk charges
EU banks grapple with NMRF proposals for volatility models
EBA options for lighter capital treatment of parametric curves could prove impractical
RNIV charges account for big chunk of Swiss banks’ capital
At UBS, 37.5% of its market risk capital requirement was for risks-not-in-VAR
Revealed: FRTB impact three times higher than expected
Undisclosed Isda study finds capital hike outweighs previous Basel Committee estimate
Basel NMRF changes don’t solve Asian data challenges
Isda AGM: Asian regulators may still need to soften FRTB standards locally, warn bankers
Japan regulator: new FRTB will help uniform Asian uptake
Relaxation of non-modellable risk factors, among other revisions, welcomed by FSA