Expected shortfall is hard to back-test, critics say – but the search for a solution is underway
Some banks worry they may not have enough data to implement expected shortfall safely
This three-part series looks at the various factors that firms across the ecosystem of global FX markets - from the buy-side, the sell-side, and the supporting community of technology vendors and service providers - should consider in order to, not just survive, but to thrive in this dynamic and ever-changing environment.
More Laurie Carver articles
Proposals on proposals
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
Credit derivatives house of the year: Credit Suisse
Banks turn to lawyers for advice as CVA functions face tougher conditions than other trading desks
French life insurers have to pay back their customers at the drop of a hat – an exposure that rises in tandem with interest rates, as customers seek better returns elsewhere. But with the industry...
Credit factor models tend to obscure the economics in favour of tractability – and this puts them at odds with rigorous arbitrage-free martingale pricing methods. To resolve this, quants are looki...
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Critics of Basel III’s credit valuation adjustment (CVA) capital charge have long warned it would produce perverse incentives. Now, in the form of a string of quarterly losses in Deutsche Bank’s...
Big loss was accompanied by even bigger capital saving, traders point out. Other banks now working out their own policy on controversial capital charge
Pricing the CVA doom loop
This whitepaper reviews the fundamental changes of Liquidity Risk Management under Basel III. It discusses how institutions can meet the regulatory requirements on liquidity risk management by enhancing their liquidity risk analytics, funds transfer pricing methodologies, liquidity stress testing frameworks, and enterprise risk management platforms.