Dealers using the standardised approach may be incentivised to push clients towards less precise hedges
EC dilution of Basel liquidity and market risk rules could create new regulatory arbitrage
One bank expects all of its desks to fail the P&L attribution test
Dealers mull creation of dedicated risk transfer desks but approval process remains unclear
Huge losses from the 2008 crisis can be seen as a short option position
Asian markets could be stifled by “irrelevant” global standards, warns Koh
Banks entering chilly FRTB waters for first time facing fresh challenges
Banks uncover hidden challenges of data, computing power and need for joined-up approach
When the Basel Committee completed FRTB in January 2016, the hard work began for the banks
Sponsored Q&A: Asset Control, Murex, Vector Risk, CompatibL, Parker Fitzgerald and Numerix
Firms hope to leave out non-modellable risk factors deemed "immaterial"
Swaps unit of commodity trading giant describes increasing need for derivatives on resins prices
FRTB model approval regime dogged by confusion and controversy
Banks argue valuation adjustments should be left out of the model approval process
Collapse in sterling expected to see in-flight deals renegotiated
Content provided by IBM
The authors of this paper simulate realistic total bank return distributions by means of a top-down copula approach for different parameter settings.
Concerns over the governance of submitted data and costs could spawn rival initiatives
Testing value-at-risk models in emerging markets during crises: a case study on South Eastern European countries
This paper examines the applicability of a wide range of VaR models in emerging markets, focusing on South Eastern European countries.
"The jury is still out on whether internal models are worth the effort" – HSBC's Jenkins
Sponsored forum: Asset Control
Parallel shifts and trading desk reshuffles mooted as fix for non-modellable risk factors