Some banks worry they may not have enough data to implement expected shortfall safely
Capital charges will be ‘very difficult to explain’, conference hears
Rise of standardised approach would be 'a loss for the banking industry'
Completing the two studies on schedule will be "nigh-on impossible" bankers claim – but regulators are thought to be wary of a postponement
The Basel Committee’s fundamental review of the trading book raises some serious issues, but David Rowe argues its central proposed revision to the market risk capital regime is little more than a costly distraction
Fixed-income trading revenues will continue to fall in 2014, believe respondents to a Risk.net poll
Banks relieved as revised trading book proposals drop plans for capital to be based on regulator-set correlations
Artificially low volatility leaves firms nervous about the future – and looking for fixed-income alternatives
Five years on from the collapse of Lehman Brothers, the chaos that followed is now being erased from some value-at-risk models – and clearing houses do not agree on how to prop up their margin requirements. By Tom Osborn
As insurers look for ways to offer long-term guarantees to customers despite the challenging investment environment, some are turning to volatility control mechanisms to reduce the cost of hedging the guarantees. Louie Woodall examines how these mechanisms...
Joining the equity rotation
Trading book capital measures were at heart of efforts to free up traders and reduce capital
Regulators planning follow-up to trading book study that revealed huge variation in modelled RWA numbers
Borrowing the stake for a bet is as old as the hills – and so is losing it. But how much debt is too much for a given position? A group of quants believe they know. Laurie Carver introduces this month’s technical articles
Capital pressures that drove UBS out of fixed income could force other banks to follow suit, says market risk head – and names Société Générale and BNP Paribas as examples
What Libor reform will change – and what it won’t
The false promise of expected shortfall
It’s the untold story of JP Morgan’s credit trading losses – how traders were able to reduce risk-weighted assets while loading up on risk, and the part played by Basel 2.5. Michael Watt reports
Tales of tails
Asia’s local capital markets stand on the verge of a boom
Costing stressed VAR
Focusing on how often a trading strategy ends on the winning side can distract from the question of whether it profits on average. The key is in the return distribution’s skew – and at least for trend-following strategies this can be directly controlled....