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
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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
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