Trading book
Basel Committee proposes scrapping VAR
Published online only
Source: Risk magazine
Review recommends switch to expected shortfall, postpones CVA charge overhaul, and retains split between banking and trading books
Original headline:
Source: Risk magazine
JP Morgan’s Jamie Dimon doesn’t seem like the kind of person that spends a lot of time regretting the fights he picks, but by inviting bank capital modelling to step outside, he has started something...
Original headline:
Source: Risk magazine
The Basel Committee is keeping an eye on Basel III implementation, led by its standards implementation group. Nick Sawyer talks to Ryozo Himino, chair of the group, about the monitoring of timelines, consistency...
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More Trading book articles
Quants weigh up VAR's flawed alternatives
Original headline:
Source: Risk magazine
The Basel Committee will consider ditching value-at-risk as the basis for trading book capital, but an obvious alternative, expected shortfall, has problems of its own. Laurie Carver reports
Beyond Basel 2.5: regulators prepare trading book review
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 liquidity and also overhaul the current patchwork...
Ambition of Basel's trading book review has faded, sources say
Published online only
Source: Risk magazine
Patchwork of risk measures - including standalone CVA charge - may be left intact
Basel DVA proposals could subtract billions from bank capital
Original headline:
Source: Risk magazine
Accountants want banks to report as profits the impact of widening credit spreads on their liabilities, but regulators are moving in the other direction. The result could be painful deductions from capital, and two very different sets of incentives. Laurie...
Cutting Edge introduction: risky contributions
Original headline:
Source: Risk magazine
Value-at-risk is usually calculated via Monte Carlo simulation, making it difficult to see the contributions from different risks. But in some circumstances approximate formulas can be derived that greatly save computing power – and explicitly show...
Use of OECD ratings in US market risk proposals questioned
Published online only
Source: Risk magazine
Country risk classifications "are not sovereign ratings" says OECD. US regulators last month proposed using them as an alternative to external credit ratings
Basel 2.5: US ratings workaround too punitive, banks complain
Original headline:
Source: Risk magazine
Securitisations suffer in draft rules that avoid use of credit ratings - a Dodd-Frank Act requirement
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