Basel committee on banking supervision (bcbs)
Trading book review will look at replacing value-at-risk, but quants say the obvious alternative - expected shortfall - is not much better
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 Basel committee on banking supervision (bcbs) articles
The AMA today
Patchwork of risk measures - including standalone CVA charge - may be left intact
A stricter approach to the modelling of bank capital is "high likely", as a result of concerns that risk-weighted asset numbers are too divergent
Esma could take key risk management decisions out of the hands of CCPs, according to new discussion paper on the technical standards required by European clearing rules
Billions of dollars in capital could be excluded under Basel proposals on derivatives DVA - with US banks hardest hit
Dealers will have to change the way they approach long-dated derivatives business, says Barclays Capital’s Jerry del Missier
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.