Incremental risk charge
Stress test struggle: separating liquidity and market risks
Original headline:
Source: Risk magazine
The financial crisis has been marked by episodes of extreme illiquidity, affecting everything from collateralised debt obligations to government bonds, but there has been little attempt to reflect these...
Original headline:
Source: Risk magazine
The Basel Committee is planning to launch its long-awaited review of trading book capital rules within the next few months. It could redefine the boundaries of the trading book, seek to reflect market...
Published online only
Source: Risk magazine
Patchwork of risk measures - including standalone CVA charge - may be left intact
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Credit derivatives house of the year: Deutsche Bank
Original headline:
Source: Risk magazine
The credit derivatives market has not seen a year like 2011. Volatility was higher in the aftermath of the Lehman Brothers collapse in September 2008, but it focused primarily on financial names. Last year’s fear was less discriminating, encompassing...
Basel 2.5 prompts flurry of asset sales and risk transfer deals
Original headline:
Source: Risk magazine
The last months of 2011 saw European banks preparing for the arrival of Basel 2.5 by trying to lighten their risk-weighted assets – but a delay in implementing the same rules in the US has created an uneven playing-field, they complain. Mark Pengelly...
Credit Suisse and UBS on Basel 2.5: Half a world away
Original headline:
Source: Risk magazine
Swiss banks had to switch over to Basel 2.5 at the start of 2011, but they are still wrestling with elements of the new trading book rules – from educating traders on the impact, to working out sovereign bond risks. And differences have already emerged...
Q&A: Stefan Walter on Basel III, RWAs, 'anti-American' rules and CVA
Original headline:
Source: Risk magazine
After five years as secretary-general, Stefan Walter left the Basel Committee at the end of October. He accepts regulators had the wrong pre-crisis agenda, but argues Basel III puts things right. By Duncan Wood
Basel 2.5: regulators still wrestling with Dodd-Frank clash
Original headline:
Source: Risk magazine
The Dodd-Frank Act means elements of Basel’s new trading book rules cannot be implemented in the US – although supervisors claim it will only be a temporary reprieve. A review of the rules has also been delayed. Mark Pengelly reports
Complexity Basel 2.5's biggest problem, Risk.net poll finds
Published online only
Source: Risk magazine
As banks prepare for year-end introduction of new trading book rules, poll respondents single out the framework's modular approach for criticism
Back to the drawing board for trading book rules
Original headline:
Source: Risk magazine
The Basel Committee is preparing to conduct a fundamental review of its trading book rules in 2011, even before a package of changes to the market risk framework has come into force. What are regulators trying to achieve and how is the industry responding?...
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