ActiveViam’s Post

BNP Paribas, Deutsche Bank and Intesa Sanpaolo thought to be looking to capitalise their trading desks under the internal models approach. https://hubs.li/Q02tT-Zk0 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02tT-gY0

BNP Paribas, Deutsche Bank and Intesa Sanpaolo thought to be looking to capitalise their trading desks under the internal models approach. https://hubs.li/Q02tT_040 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02tT-nv0

The European Banking Authority (EBA) has issued guidelines and final drafts of RTS - Regulatory Technical Standards on governance, conflicts of interest and remuneration for issuers of ART - asset-referenced tokens under MiCAR. Key points include: • Governance Guidelines Specify the minimum content of governance arrangements, clarify responsibilities and organizational structures, and emphasize risk management. • Remuneration Policy RTS Ensure remuneration policies promote sound risk management, avoid lowering risk standards, and maintain cross-sectoral consistency. • Conflicts of Interest RTS Detail requirements for policies and procedures to effectively manage and disclose conflicts of interest, ensuring adequate resources and attention to potential group-related conflicts. These guidelines and standards will apply three months after publication on the EBA website. #EBA #Banking #Finance #Fintech #Governance #Regulatory

BNP Paribas, Deutsche Bank and Intesa Sanpaolo thought to be looking to capitalise their trading desks under the internal models approach. https://hubs.li/Q02tT-nw0 Non-subscribers can get a snapshot of Risk’s coverage. Registration is free and allows you to read two articles a month: https://hubs.li/Q02tT-mh0

Check out Samuel Wilkes from Risk.net's latest piece on how BNP Paribas, Deutsche Bank, and Intesa Sanpaolo are taking a bold step by applying for FRTB's Internal Models Approach (IMA) approval with the ECB. Will this move inspire wider adoption after limited interest in other jurisdictions? "“I would assume it is going to be a relatively limited set of trading desks that will go initially at least.”" says our very own Charlie Browne Head of Market Data, Quant and Risk Solutions.  #FRTB #internalmodels #riskmanagement #trading #bankingregulation

As part of its annual report for the year 2023, JP Morgan SE (EU subsidiary of JP Morgan) revealed that it set aside, in line with EBA requirements the amount of €318 million ($345 million) to cover structural credit spread risk until the end of 2023. Since the end of the previous year, lenders have been required by the European Banking Authority (EBA) to evaluate credit spread risk in the banking book (CSRBB) in addition to interest rate risk in the banking book (IRRBB) as part of their internal capital adequacy assessment process (ICAAP). The complete annual report including the methodology used and the measurement framework can be downloaded from the link below: https://lnkd.in/decJvw7B #GRC #CSRBB #IRRBB #creditspreadrisk #riskmanagement #BaselIII #solvency #ICAAP #EBA #structuralcreditspread #EU

I'm happy to share that my new paper, "Liquidity Leverage Ratio: A Simple Non-Risk-Based Backstop for LCR Model Risk," has been published in the BTRM Working Paper Series. In the paper, I propose a new metric called the Liquidity Leverage Ratio. In its simplest form, this metric indicates how much you stretch your cash and securities portfolio to cover runnable liabilities. Runnable liabilities are considered on a notional basis, free from the risk sensitivities used in risk-based metrics. By using this metric alongside your risk-based measure (LCR or internal), you can create a self-reinforcing guardrail to prevent over-stretching your liquidity resources and provide a backstop for model risk in the risk-based metric. Have a read and feel free to reach out if you would like to discuss it further. P.S. The views expressed in this publication are my own and do not represent the views of any organisation with which I am affiliated. #LiquidityManagement #RiskManagement #FinancialMetrics #LiquidityLeverageRatio #FinanceResearch #Banking #FinancialStability #LiquidityRisk #AcademicPaper #BTRM #ModelRisk #FinancialResearch #Finance #Liquidity #RiskBasedMetrics #FinancialAnalysis #LiquidityResources

Read this year's EBA publication on Resolution Convergence (2024 EREP). 📊 The publication goes over progress made in 2023, challenges, as well as measures taken by resolution authorities to counteract said challenges and improve bank readiness and efficiency in handling possible crisis events. Furthermore, the report lays out the priorities for resolution authorities for 2025, with a focus on ensuring the proper implementation of resolution strategies, the enhancement of management information valuation systems, and liquidity strategies during the resolution process. You can find out more here 👉 https://lnkd.in/e6fiXdYy #GrantThorntonCyprus #EBAPublication #CBC #EBA #riskadvisory #resolutionstrategies Andreas Spyrides, CFA, Christina Savva

The European Banking Authority (EBA) has recently published the draft methodology, templates and guidance for the 2025 EU-wide stress test. There are notable changes including the use of the latest Capital Requirements Regulations(CRR3) in risk exposure amount computation for credit, CVA, conduct and operational risk, introduction of additional class within proportionality approach, output floor and more. Catch our recent note on this topic: https://lnkd.in/d2NyUgtb Mike Winn | Maninder (Mandy) Singh | Nageswara Ganduri | Steve Nutland | Vishal Mewasingh | Ashok Subramanian, CQF #CRISIL #EuropeanBankingAuthority #OperationalRisk #StressTest

Yesterday (July 8) the European Banking Authority (EBA) initiated a consultation on draft Regulatory Technical Standards (RTS) to assess the materiality of CVA risk exposures from fair-valued securities financing transactions. Key Points: - Objective: Define conditions and criteria to determine if CVA risk exposures are material and can be exempted from own funds requirements. - Quantitative Threshold: A ratio to quantify CVA risk relative to transactions within the scope of own funds requirements. - Quarterly Assessment: Ensure consistency with the regular calculation and reporting cycle. - Consultation Process: Comments can be submitted online until October 8, 2024. A public hearing will be held via conference call on September 4, 2024. This consultation is part of the EBA's efforts to ensure robust risk management practices in the banking sector. Follow Global Regulatory Insights for more updates on the latest regulatory developments. #EBA #CVARisk #SecuritiesFinancing #BankingRegulation #RegulatoryUpdates #GRI